UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06318
MORGAN STANLEY PATHWAY FUNDS
(Exact name of registrant as specified in charter)
2000 Westchester Avenue
Purchase, NY 10577
(Address of principal executive offices) (Zip code)
CT Corp
155 Federal Street, Suite 700
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1 (800) 869-3326
Date of fiscal year end: August 31
Date of reporting period: August 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
Morgan Stanley Pathway Funds - High Yield Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - High Yield Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| High Yield Fund | $90 | 0.85% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Bloomberg U.S. Corporate High Yield Bond Index:
Contributors:
o Security selection within energy sector.
o Overweight to the finance sector.
Detractors:
o Sector allocation.
o Security selection within communications sector.
Comparison of the change in value of a $10,000 investment for the period indicated.
| High Yield Fund (Without Annual Advisory Program Fee) | High Yield Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Universal Bond™ Index | Bloomberg U.S. Corporate High Yield Bond Index |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 | $10,000 |
| 8/15 | $9,386 | $9,155 | $10,113 | $9,707 |
| 8/16 | $9,763 | $9,290 | $10,770 | $10,588 |
| 8/17 | $10,581 | $9,821 | $10,915 | $11,501 |
| 8/18 | $10,948 | $9,912 | $10,814 | $11,892 |
| 8/19 | $11,559 | $10,260 | $11,903 | $12,672 |
| 8/20 | $11,575 | $10,084 | $12,666 | $13,269 |
| 8/21 | $12,571 | $10,736 | $12,778 | $14,615 |
| 8/22 | $11,203 | $9,377 | $11,264 | $13,066 |
| 8/23 | $11,955 | $9,809 | $11,219 | $14,002 |
| 8/24 | $13,265 | $10,668 | $12,108 | $15,760 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| High Yield Fund (Without Annual Advisory Program Fee) | 10.96% | 2.79% | 2.87% |
High Yield Fund (With Annual Advisory Program FeeFootnote Reference1) | 8.76% | 0.55% | 0.44% |
| Bloomberg U.S. Universal Bond™ Index | 7.92% | 0.34% | 1.93% |
| Bloomberg U.S. Corporate High Yield Bond Index | 12.55% | 4.46% | 4.65% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $133,215,030 |
| # of Portfolio Holdings | 526 |
| Portfolio Turnover Rate | 44% |
| Advisory Fees Paid | $649,516 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Corporate Bonds & Notes | 90.1% |
| Collateralized Mortgage Obligations | 4.0% |
| Senior Loans | 2.4% |
| Common Stocks | 0.1% |
| Sovereign Bond | 0.0%Footnote Referencea |
| Short-Term Investments | 3.4% |
| Footnote | Description |
Footnotea | Less than 0.05%. |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 3.3% |
| Not Rated | 3.6% |
| CCC or Lower | 8.6% |
| B | 32.3% |
| BB | 44.1% |
| BBB | 7.3% |
| A | 0.2% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - International Fixed Income Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - International Fixed Income Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| International Fixed Income Fund | $95 | 0.92% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the FTSE Non-U.S. WGBI (USD) - Hedged:
Contributors:
o Interest rate strategies including an overweight in Eurozone duration.
o Positioning in Australia and Canada.
Detractors:
o Currency strategies including short exposures to the Euro.
o Positioning in China.
Comparison of the change in value of a $10,000 investment for the period indicated.
| International Fixed Income Fund (Without Annual Advisory Program Fee) | International Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | FTSE Non-U.S. WGBI (USD) - Hedged |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $10,031 | $9,784 | $10,315 |
| 8/16 | $11,004 | $10,469 | $11,243 |
| 8/17 | $11,112 | $10,309 | $11,155 |
| 8/18 | $11,362 | $10,281 | $11,373 |
| 8/19 | $12,499 | $11,087 | $12,835 |
| 8/20 | $12,594 | $10,971 | $12,871 |
| 8/21 | $12,828 | $10,954 | $12,981 |
| 8/22 | $11,347 | $9,496 | $11,584 |
| 8/23 | $11,329 | $9,293 | $11,544 |
| 8/24 | $12,105 | $9,732 | $12,297 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| International Fixed Income Fund (Without Annual Advisory Program Fee) | 6.85% | -0.64% | 1.93% |
International Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | 4.73% | -2.80% | -0.47% |
| FTSE Non-U.S. WGBI (USD) - Hedged | 6.53% | -0.85% | 2.09% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $179,315,168 |
| # of Portfolio Holdings | 384 |
| Portfolio Turnover Rate | 328% |
| Advisory Fees Paid | $815,780 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Mortgage-Backed Securities | 30.5% |
| Sovereign Bonds | 27.4% |
| Collateralized Mortgage Obligations | 16.1% |
| Corporate Bonds & Notes | 8.9% |
| U.S. Government Agencies & Obligations | 7.5% |
| Asset-Backed Securities | 0.1% |
| Purchased Options | 0.1% |
| Short-Term Investments | 9.4% |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 10.3% |
| Not Rated | 13.7% |
| CCC or Lower | 1.8% |
| B | 0.3% |
| BB | 1.1% |
| BBB | 8.1% |
| A | 11.2% |
| AA | 48.3% |
| AAA | 12.5% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Ultra-Short Term Fixed Income Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Ultra-Short Term Fixed Income Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Ultra-Short Term Fixed Income Fund | $56 | 0.54% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the FTSE 3-Month U.S. Treasury Bill Index:
Contributors:
o Interest rate strategies including security selection across U.S. rate curve.
o Tactical long exposure to securitized credit.
Detractors:
o No material detractors.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Ultra-Short Term Fixed Income Fund (Without Annual Advisory Program Fee) | Ultra-Short Term Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Aggregate Bond™ Index | FTSE 3-Month U.S. Treasury Bill Index |
|---|
| 3/16 | $10,000 | $10,000 | $10,000 | $10,000 |
| 8/16 | $10,089 | $9,968 | $10,397 | $10,013 |
| 8/17 | $10,305 | $9,931 | $10,448 | $10,072 |
| 8/18 | $10,520 | $9,888 | $10,339 | $10,222 |
| 8/19 | $10,738 | $9,893 | $11,390 | $10,462 |
| 8/20 | $10,991 | $9,950 | $12,128 | $10,586 |
| 8/21 | $11,058 | $9,813 | $12,117 | $10,593 |
| 8/22 | $10,956 | $9,529 | $10,722 | $10,640 |
| 8/23 | $11,499 | $9,803 | $10,594 | $11,112 |
| 8/24 | $12,220 | $10,212 | $11,367 | $11,740 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception |
|---|
| Ultra-Short Term Fixed Income Fund (Inception: March 9, 2016) (Without Annual Advisory Program Fee) | 6.28% | 2.62% | 2.39% |
Ultra-Short Term Fixed Income Fund (Inception: March 9, 2016) (With Annual Advisory Program FeeFootnote Reference1) | 4.17% | 0.39% | 0.04% |
| Bloomberg U.S. Aggregate Bond™ Index | 7.30% | -0.04% | 1.49% |
| FTSE 3-Month U.S. Treasury Bill Index | 5.65% | 2.33% | 1.90% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $315,381,256 |
| # of Portfolio Holdings | 308 |
| Portfolio Turnover Rate | 87% |
| Advisory Fees Paid | $1,126,557 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Corporate Bonds & Notes | 44.5% |
| Collateralized Mortgage Obligations | 21.8% |
| Asset-Backed Securities | 16.4% |
| U.S. Government Agencies & Obligations | 6.3% |
| Mortgage-Backed Securities | 2.4% |
| Short-Term Investments | 8.6% |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 9.1% |
| Not Rated | 4.7% |
| B | 0.1% |
| BB | 1.5% |
| BBB | 31.8% |
| A | 13.8% |
| AA | 9.9% |
| AAA | 34.9% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Large Cap Equity Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Large Cap Equity Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Large Cap Equity Fund | $46 | 0.41% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Russell 1000® Index:
Contributors:
o Underweight Consumer Discretionary as the sector underperformed the index.
o Overweight Financials as sector outperformed the index.
Detractors:
o Underweight Information Technology as sector outperformed the index.
o Overweight Health Care as sector underperformed the index.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Large Cap Equity Fund (Without Annual Advisory Program Fee) | Large Cap Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | Russell 1000® Index |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $10,439 | $10,182 | $10,040 |
| 8/16 | $11,177 | $10,636 | $11,214 |
| 8/17 | $12,727 | $11,812 | $13,026 |
| 8/18 | $15,131 | $13,706 | $15,607 |
| 8/19 | $15,331 | $13,614 | $15,996 |
| 8/20 | $18,220 | $15,891 | $19,595 |
| 8/21 | $24,012 | $20,536 | $25,915 |
| 8/22 | $20,305 | $17,016 | $22,555 |
| 8/23 | $23,292 | $19,136 | $26,029 |
| 8/24 | $29,014 | $23,364 | $32,952 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Equity Fund (Without Annual Advisory Program Fee) | 24.57% | 13.61% | 11.24% |
Large Cap Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | 22.09% | 11.13% | 8.62% |
Russell 1000® Index | 26.60% | 15.55% | 12.66% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $2,647,237,633 |
| # of Portfolio Holdings | 1,022 |
| Portfolio Turnover Rate | 25% |
| Advisory Fees Paid | $6,968,239 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Sector Allocation (% of Investments)
| Value | Value |
|---|
| Short-Term Investments | 1.9% |
| Utilities | 2.1% |
| Materials | 2.8% |
| Real Estate | 2.9% |
| Energy | 3.5% |
| Consumer Staples | 4.8% |
| Communication Services | 8.4% |
| Consumer Discretionary | 9.0% |
| Industrials | 10.2% |
| Health Care | 12.5% |
| Financials | 16.1% |
| Information Technology | 25.8% |
Top Ten Holdings (% of Investments)Footnote Referencea
| Microsoft Corp. | 5.8% |
| Apple Inc. | 4.4% |
| NVIDIA Corp. | 4.2% |
| Amazon.com Inc. | 3.4% |
| Meta Platforms Inc., Class A Shares | 1.9% |
| Alphabet Inc., Class A Shares | 1.7% |
| Alphabet Inc., Class C Shares | 1.4% |
| JPMorgan Chase & Co. | 1.4% |
| Visa Inc., Class A Shares | 1.4% |
| Berkshire Hathaway Inc., Class B Shares | 1.4% |
| Total | 27.0% |
| Footnote | Description |
Footnotea | Excludes cash equivalents. |
This is a summary of a change of the Fund since August 31, 2024.
The Board of Trustees of the Trust has approved an agreement and plan of reorganization providing for the reorganization (the "Reorganization") of the Fund into the Large Cap Equity ETF, (the “Acquiring ETF”), a newly-created series of the Trust that will operate as a fully transparent and actively managed exchange-traded fund. The Reorganization is currently expected to close immediately prior to the open of trading on the New York Stock Exchange on November 18, 2024. Upon closing of the Reorganization, the Fund's shareholders will receive ETF shares of the Acquiring ETF in exchange for their shares of the Fund. The net asset value of a shareholder's investment is not expected to change as a result of the Reorganizations. In addition, prior to the Reorganizations, shareholders will receive cash equal to the net asset value of any fractional shares of the Fund held by the shareholder at such time.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Small-Mid Cap Equity Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Small-Mid Cap Equity Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Small-Mid Cap Equity Fund | $65 | 0.60% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Russell 2500® Index:
Contributors:
o Overweight Utilities as the sector outperformed the index.
o Underweight Communication Services as sector underperformed the index.
Detractors:
o Underweight Financials as sector outperformed the index.
o Overweight Health Care as sector underperformed the index.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Small-Mid Cap Equity Fund (Without Annual Advisory Program Fee) | Small-Mid Cap Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | Russell 3000® Index | Russell 2500® Index |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 | $10,000 |
| 8/15 | $10,736 | $10,469 | $10,036 | $9,968 |
| 8/16 | $10,145 | $9,645 | $11,184 | $10,845 |
| 8/17 | $11,615 | $10,769 | $12,980 | $12,279 |
| 8/18 | $14,190 | $12,837 | $15,608 | $15,143 |
| 8/19 | $13,302 | $11,797 | $15,813 | $14,062 |
| 8/20 | $14,470 | $12,603 | $19,203 | $15,017 |
| 8/21 | $20,423 | $17,444 | $25,548 | $21,904 |
| 8/22 | $17,177 | $14,376 | $22,155 | $18,499 |
| 8/23 | $18,288 | $15,004 | $25,424 | $19,728 |
| 8/24 | $21,067 | $16,940 | $32,071 | $23,155 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Small-Mid Cap Equity Fund (Without Annual Advisory Program Fee) | 15.19% | 9.63% | 7.74% |
Small-Mid Cap Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | 12.90% | 7.24% | 5.20% |
Russell 3000® Index | 26.14% | 15.19% | 12.36% |
Russell 2500® Index | 17.37% | 10.49% | 8.76% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $478,543,915 |
| # of Portfolio Holdings | 2,490 |
| Portfolio Turnover Rate | 56% |
| Advisory Fees Paid | $2,149,541 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Sector Allocation (% of Investments)
| Value | Value |
|---|
| Short-Term Investments | 1.8% |
| Consumer Staples | 2.4% |
| Communication Services | 2.6% |
| Utilities | 3.3% |
| Materials | 4.6% |
| Energy | 4.9% |
| Real Estate | 5.1% |
| Consumer Discretionary | 11.4% |
| Health Care | 14.1% |
| Financials | 14.8% |
| Information Technology | 15.3% |
| Industrials | 19.7% |
Top Ten Holdings (% of Investments)Footnote Referencea
| JPMorgan Chase & Co. - New York | 1.2% |
| Ascendis Pharma AS, ADR | 0.8% |
| Criteo SA, ADR | 0.7% |
| Comfort Systems USA Inc. | 0.7% |
| Avient Corp. | 0.6% |
| Regal Rexnord Corp. | 0.6% |
| Ciena Corp. | 0.6% |
| Casella Waste Systems Inc., Class A Shares | 0.6% |
| ITT Inc. | 0.6% |
| STAG Industrial Inc. | 0.6% |
| Total | 6.8% |
| Footnote | Description |
Footnotea | Excludes cash equivalents. |
This is a summary of a change of the Fund since August 31, 2024.
The Board of Trustees of the Trust has approved an agreement and plan of reorganization providing for the reorganization (the "Reorganization") of the Fund into the Small-Mid Cap Equity ETF, (the “Acquiring ETF”), a newly-created series of the Trust that will operate as a fully transparent and actively managed exchange-traded fund. The Reorganization is currently expected to close immediately prior to the open of trading on the New York Stock Exchange on November 18, 2024. Upon closing of the Reorganization, the Fund's shareholders will receive ETF shares of the Acquiring ETF in exchange for their shares of the Fund. The net asset value of a shareholder's investment is not expected to change as a result of the Reorganizations. In addition, prior to the Reorganizations, shareholders will receive cash equal to the net asset value of any fractional shares of the Fund held by the shareholder at such time.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Municipal Bond Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Municipal Bond Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Municipal Bond Fund | $71 | 0.69% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Bloomberg U.S. Municipal Bond™ Index:
Contributors:
o Curve positioning.
o Overweight exposure to corporate-backed municipals.
Detractors:
o Security selection within BBB rated credits.
o Underweight exposure to school districts.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Municipal Bond Fund (Without Annual Advisory Program Fee) | Municipal Bond Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Municipal Bond™ Index |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $10,232 | $9,980 | $10,252 |
| 8/16 | $10,860 | $10,331 | $10,957 |
| 8/17 | $10,836 | $10,053 | $11,054 |
| 8/18 | $10,813 | $9,782 | $11,108 |
| 8/19 | $11,718 | $10,392 | $12,076 |
| 8/20 | $11,951 | $10,407 | $12,467 |
| 8/21 | $12,319 | $10,515 | $12,890 |
| 8/22 | $11,221 | $9,386 | $11,777 |
| 8/23 | $11,372 | $9,325 | $11,978 |
| 8/24 | $12,057 | $9,690 | $12,707 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Municipal Bond Fund (Without Annual Advisory Program Fee) | 6.02% | 0.57% | 1.89% |
Municipal Bond Fund (With Annual Advisory Program FeeFootnote Reference1) | 3.91% | -1.62% | -0.51% |
| Bloomberg U.S. Municipal Bond™ Index | 6.09% | 1.02% | 2.43% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $90,331,489 |
| # of Portfolio Holdings | 141 |
| Portfolio Turnover Rate | 40% |
| Advisory Fees Paid | $379,306 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Municipal Bonds | 96.7% |
| Short-Term Investments | 3.3% |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 3.3% |
| Not Rated | 6.3% |
| BB | 1.4% |
| BBB | 5.8% |
| A | 18.4% |
| AA | 54.1% |
| AAA | 10.2% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Inflation-Linked Fixed Income Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Inflation-Linked Fixed Income Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Inflation-Linked Fixed Income Fund | $257 | 2.49% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index:
Contributors:
o Interest rate strategies including U.S. and Eurozone curve positioning.
o Security selection within Japanese breakevens.
Detractors:
o No material detractors.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Inflation-Linked Fixed Income Fund (Without Annual Advisory Program Fee) | Inflation-Linked Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Aggregate Bond™ Index | Bloomberg U.S. TIPS Index |
|---|
| 3/16 | $10,000 | $10,000 | $10,000 | $10,000 |
| 8/16 | $10,459 | $10,335 | $10,397 | $10,425 |
| 8/17 | $10,569 | $10,186 | $10,448 | $10,473 |
| 8/18 | $10,627 | $9,988 | $10,339 | $10,560 |
| 8/19 | $11,310 | $10,418 | $11,390 | $11,348 |
| 8/20 | $12,484 | $11,286 | $12,128 | $12,368 |
| 8/21 | $13,216 | $11,712 | $12,117 | $13,055 |
| 8/22 | $12,374 | $10,748 | $10,722 | $12,274 |
| 8/23 | $11,816 | $10,059 | $10,594 | $11,823 |
| 8/24 | $12,577 | $10,494 | $11,367 | $12,553 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception |
|---|
| Inflation-Linked Fixed Income Fund (Inception: March 9, 2016) (Without Annual Advisory Program Fee) | 6.44% | 2.15% | 2.74% |
Inflation-Linked Fixed Income Fund (Inception: March 9, 2016) (With Annual Advisory Program FeeFootnote Reference1) | 4.32% | -0.08% | 0.38% |
| Bloomberg U.S. Aggregate Bond™ Index | 7.30% | -0.04% | 1.49% |
| Bloomberg U.S. TIPS Index | 6.17% | 2.04% | 2.68% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $147,304,095 |
| # of Portfolio Holdings | 165 |
| Portfolio Turnover Rate | 121% |
| Advisory Fees Paid | $588,781 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| U.S. Government Agencies & Obligations | 77.8% |
| Mortgage-Backed Securities | 9.6% |
| Collateralized Mortgage Obligations | 8.8% |
| Sovereign Bonds | 3.3% |
| Corporate Bonds & Notes | 0.1% |
| Short-Term Investments | 0.4% |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 1.8% |
| Not Rated | 6.0% |
| CCC or Lower | 1.8% |
| B | 0.4% |
| BBB | 0.3% |
| A | 1.1% |
| AA | 126.2% |
| AAA | 7.0% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Core Fixed Income Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Core Fixed Income Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Core Fixed Income Fund | $50 | 0.48% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the Bloomberg U.S. Aggregate Bond™ Index:
Contributors:
o Sector allocation
o Positioning in investment-grade and high-yield credit.
Detractors:
o Emerging market debt positioning.
o Interest rate positioning.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Core Fixed Income Fund (Without Annual Advisory Program Fee) | Core Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Aggregate Bond™ Index |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $10,135 | $9,885 | $10,156 |
| 8/16 | $10,727 | $10,205 | $10,762 |
| 8/17 | $10,841 | $10,059 | $10,815 |
| 8/18 | $10,695 | $9,676 | $10,701 |
| 8/19 | $11,806 | $10,470 | $11,790 |
| 8/20 | $12,687 | $11,053 | $12,553 |
| 8/21 | $12,760 | $10,896 | $12,542 |
| 8/22 | $11,120 | $9,305 | $11,098 |
| 8/23 | $10,942 | $8,975 | $10,966 |
| 8/24 | $11,705 | $9,410 | $11,766 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Core Fixed Income Fund (Without Annual Advisory Program Fee) | 6.97% | -0.17% | 1.59% |
Core Fixed Income Fund (With Annual Advisory Program FeeFootnote Reference1) | 4.85% | -2.35% | -0.81% |
| Bloomberg U.S. Aggregate Bond™ Index | 7.30% | -0.04% | 1.64% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $1,865,221,539 |
| # of Portfolio Holdings | 4,004 |
| Portfolio Turnover Rate | 229% |
| Advisory Fees Paid | $6,335,804 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Corporate Bonds & Notes | 29.7% |
| Mortgage-Backed Securities | 27.1% |
| U.S. Government Agencies & Obligations | 20.8% |
| Collateralized Mortgage Obligations | 11.3% |
| Sovereign Bonds | 3.8% |
| Asset-Backed Securities | 0.8% |
| Senior Loans | 0.7% |
| Municipal Bonds | 0.2% |
| Common Stock | 0.0%Footnote Referencea |
| Purchased Options | 0.0%Footnote Referencea |
| Short-Term Investments | 5.6% |
| Footnote | Description |
Footnotea | Less than 0.05%. |
Credit Quality Allocation (% of net assets)
| Value | Value |
|---|
| Cash & Short Term Investments | 5.9% |
| Not Rated | 4.6% |
| CCC or Lower | 0.3% |
| B | 1.0% |
| BB | 3.7% |
| BBB | 19.6% |
| A | 11.3% |
| AA | 52.8% |
| AAA | 5.3% |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - International Equity Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - International Equity Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| International Equity Fund | $67 | 0.61% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the MSCI EAFE® Index (Net):
Contributors:
o Overweight Information Technology as the sector outperformed the index.
o Positioning within Italy, Switzerland, Belgium.
Detractors:
o Underweight Financials as sector outperformed the index.
o Positioning within Netherlands, Japan, United Kingdom.
Comparison of the change in value of a $10,000 investment for the period indicated.
| International Equity Fund (Without Annual Advisory Program Fee) | International Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | MSCI EAFE® Index (Net) |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $9,232 | $9,004 | $9,253 |
| 8/16 | $9,321 | $8,869 | $9,242 |
| 8/17 | $10,918 | $10,135 | $10,872 |
| 8/18 | $11,371 | $10,301 | $11,349 |
| 8/19 | $10,650 | $9,456 | $10,980 |
| 8/20 | $11,571 | $10,090 | $11,653 |
| 8/21 | $14,918 | $12,757 | $14,697 |
| 8/22 | $11,731 | $9,828 | $11,787 |
| 8/23 | $14,279 | $11,729 | $13,899 |
| 8/24 | $16,900 | $13,607 | $16,596 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| International Equity Fund (Without Annual Advisory Program Fee) | 18.36% | 9.67% | 5.39% |
International Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | 16.01% | 7.29% | 2.91% |
MSCI EAFE® Index (Net) | 19.40% | 8.61% | 5.20% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $1,310,032,324 |
| # of Portfolio Holdings | 980 |
| Portfolio Turnover Rate | 26% |
| Advisory Fees Paid | $6,022,818 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Country Allocation (% of Investments)
| Value | Value |
|---|
| Short Term Investments | 1.6% |
| Others | 15.6% |
| Spain | 2.8% |
| Italy | 2.9% |
| Denmark | 3.3% |
| Australia | 3.9% |
| Netherlands | 5.1% |
| Germany | 8.4% |
| Switzerland | 8.6% |
| France | 11.5% |
| United Kingdom | 16.9% |
| Japan | 19.4% |
Top Ten Holdings (% of Investments)Footnote Referencea
| Novo Nordisk AS, Class B Shares | 2.1% |
| Roche Holding AG | 1.8% |
| SAP SE | 1.8% |
| ASML Holding NV | 1.5% |
| AstraZeneca PLC | 1.4% |
| Shell PLC | 1.3% |
| Rolls-Royce Holdings PLC | 1.1% |
| Samsung Electronics Co., Ltd. | 1.0% |
| Sumitomo Mitsui Banking Corp. - Tokyo | 1.0% |
| GSK PLC | 1.0% |
| Total | 14.0% |
| Footnote | Description |
Footnotea | Excludes cash equivalents. |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Alternative Strategies Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Alternative Strategies Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Alternative Strategies Fund | $41 | 0.39% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the HFRX Global Hedge Fund Index:
Contributors:
o Positioning in Market Neutral Equity.
o Positioning in Relative Value.
Detractors:
o Positioning in Managed Futures.
o Positioning in Commodities.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Alternative Strategies Fund (Without Annual Advisory Program Fee) | Alternative Strategies Fund (With Annual Advisory Program FeeFootnote Reference1) | Bloomberg U.S. Universal Bond™ Index | HFRX Global Hedge Fund Index |
|---|
| 2/18 | $10,000 | $10,000 | $10,000 | $10,000 |
| 8/18 | $9,880 | $9,748 | $10,099 | $9,810 |
| 8/19 | $10,167 | $9,833 | $11,116 | $9,700 |
| 8/20 | $10,432 | $9,905 | $11,829 | $10,173 |
| 8/21 | $11,516 | $10,719 | $11,934 | $11,099 |
| 8/22 | $11,268 | $10,292 | $10,519 | $10,663 |
| 8/23 | $11,509 | $10,304 | $10,478 | $10,734 |
| 8/24 | $12,505 | $10,973 | $11,308 | $11,351 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception |
|---|
| Alternative Strategies Fund (Inception: February 16, 2018) (Without Annual Advisory Program Fee) | 8.65% | 4.23% | 3.48% |
Alternative Strategies Fund (Inception: February 16, 2018) (With Annual Advisory Program FeeFootnote Reference1) | 6.49% | 1.96% | 1.15% |
| Bloomberg U.S. Universal Bond™ Index | 7.92% | 0.34% | 4.21% |
| HFRX Global Hedge Fund Index | 5.75% | 3.19% | 1.78% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $163,099,385 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 13% |
| Advisory Fees Paid | $323,844 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Asset Weightings (% of Investments)
| Open End Mutual Fund Securities | 100.0% |
Top Ten Holdings (% of Investments)Footnote Referencea
| PIMCO Mortgage Opportunities and Bond Fund, Class I2 | 12.4% |
| BlackRock Systematic Multi-Strategy Fund, Institutional Class | 11.4% |
| BNY Mellon Global Real Return Fund, Class Y | 7.1% |
| John Hancock Diversified Macro Fund, Class I | 6.3% |
| BlackRock Global Equity Market Neutral Fund, Institutional Class | 6.2% |
| Neuberger Berman Long Short Fund, Institutional Class | 6.1% |
| American Beacon AHL Managed Futures Strategy Fund, Class Y | 5.5% |
| PIMCO Credit Opportunities Bond Fund, Institutional Class | 5.1% |
| BlackRock Event Driven Equity Fund, Institutional Class | 5.1% |
| Calamos Market Neutral Income Fund, Class I | 5.1% |
| Total | 70.2% |
| Footnote | Description |
Footnotea | Excludes cash equivalents. |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Morgan Stanley Pathway Funds - Emerging Markets Equity Fund
Annual Shareholder Report August 31, 2024
This annual shareholder report contains important information about Morgan Stanley Pathway Funds - Emerging Markets Equity Fund for the period of September 1, 2023 to August 31, 2024. You can find additional information about the fund at www.morganstanley.com/wealth-investmentsolutions/cgcm. You can also request this information by contacting us at 1-888-454-3965.
What were the Fund costs for the last year?
(based on hypothetical $10,000 investment)
| Fund name | Cost of a $10,000 investment | Cost paid as a % of a $10,000 investment |
|---|
| Emerging Markets Equity Fund | $81 | 0.76% |
How did the fund perform last year?
Key contributors to and detractors from performance relative to the MSCI Emerging Markets Index (Net):
Contributors:
o Overweight Information Technology as the sector outperformed the index.
o Positioning within Korea, China, Thailand.
Detractors:
o Underweight Utilities as sector outperformed the broad index.
o Positioning within India, Taiwan, Mexico.
Comparison of the change in value of a $10,000 investment for the period indicated.
| Emerging Markets Equity Fund (Without Annual Advisory Program Fee) | Emerging Markets Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | MSCI Emerging Markets Index (Net) |
|---|
| 8/14 | $10,000 | $10,000 | $10,000 |
| 8/15 | $7,592 | $7,406 | $7,705 |
| 8/16 | $8,755 | $8,333 | $8,617 |
| 8/17 | $10,985 | $10,207 | $10,730 |
| 8/18 | $10,369 | $9,401 | $10,657 |
| 8/19 | $10,328 | $9,178 | $10,193 |
| 8/20 | $11,029 | $9,623 | $11,669 |
| 8/21 | $13,377 | $11,443 | $14,134 |
| 8/22 | $9,907 | $8,303 | $11,052 |
| 8/23 | $10,367 | $8,516 | $11,190 |
| 8/24 | $11,743 | $9,455 | $12,877 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Emerging Markets Equity Fund (Without Annual Advisory Program Fee) | 13.27% | 2.60% | 1.62% |
Emerging Markets Equity Fund (With Annual Advisory Program FeeFootnote Reference1) | 11.02% | 0.37% | -0.77% |
| MSCI Emerging Markets Index (Net) | 15.07% | 4.79% | 2.56% |
| Footnote | Description |
Footnote1 | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
Performance does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. For more performance information, visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
THE FUND'S PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
| Total Net Assets | $498,851,455 |
| # of Portfolio Holdings | 1,296 |
| Portfolio Turnover Rate | 26% |
| Advisory Fees Paid | $2,529,136 |
What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.
Country Allocation (% of Investments)
| Value | Value |
|---|
| Short Term Investments | 2.1% |
| Others | 13.6% |
| Uruguay | 2.0% |
| Indonesia | 2.3% |
| Saudi Arabia | 2.4% |
| Mexico | 2.9% |
| South Africa | 3.0% |
| Brazil | 5.7% |
| South Korea | 11.8% |
| Taiwan | 15.5% |
| India | 18.0% |
| China | 20.7% |
Top Ten Holdings (% of Investments)Footnote Referencea
| Taiwan Semiconductor Manufacturing Co., Ltd. | 5.5% |
| Tencent Holdings Ltd. | 4.0% |
| Samsung Electronics Co., Ltd. | 3.7% |
| Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 3.4% |
| Reliance Industries Ltd. | 2.3% |
| SK Hynix Inc. | 1.9% |
| MercadoLibre Inc. | 1.4% |
| HDFC Bank Ltd., ADR | 1.3% |
| JPMorgan Chase & Co. - New York | 1.2% |
| Alibaba Group Holding Ltd. | 1.1% |
| Total | 25.8% |
| Footnote | Description |
Footnotea | Excludes cash equivalents. |
There were no material changes to the Fund.
For additional information about the Fund, including its prospectus, statement of additional information, financial statements, holdings and proxy information, please scan the QR code or visit www.morganstanley.com/wealth-investmentsolutions/cgcm.
To reduce expense the Fund may mail only one copy of the prospectus, Statement of Additional Information and each annual & semi-annual Tailored Shareholder report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-888-454-3965. You will begin receiving copies thirty days after you request is received.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Annual Shareholder Report August 31, 2024
Item 2. Code of Ethics.
As of the period ended August 31, 2024 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 13(a)(1).
The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has determined that Teresa S. Westbrook possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Ms. Westbrook as the Registrant’s audit committee financial expert. Ms. Westbrook is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
Item 4. Principal Accountant Fees and Services.
AUDIT FEES –
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2024 and August 31, 2023 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $697,100 in 2024 and $688,350 in 2023.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2024, and August 31, 2023, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2024 and $0 in 2023.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2024 and August 31, 2023 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in 2024 and $0 in 2023. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2024, and August 31, 2023, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2024 and $0 for 2023.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Morgan Stanley Pathway Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2024 and 0% for 2023; Tax Fees were 0% for 2024 and 0% for 2023; and Other Fees were 0% for 2024 and 0% for 2023.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2024 and $0 in 2023.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.
(i) Not Applicable.
(j) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Item 6. Investments.
| (c) | Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Morgan Stanley
Pathway Funds
Annual Report
| • | | Small-Mid Cap Equity Fund |
| • | | International Equity Fund |
| • | | Emerging Markets Equity Fund |
| • | | International Fixed Income Fund |
| • | | Inflation-Linked Fixed Income Fund |
| • | | Ultra-Short Term Fixed Income Fund |
| • | | Alternative Strategies Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Table of Contents
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 98.0% | |
|
| COMMUNICATION SERVICES — 8.4% | |
|
| Diversified Telecommunication Services — 0.6% | |
| | 229,970 | | | AT&T Inc. | | $ | 4,576,403 | |
| | 7,688 | | | Frontier Communications Parent Inc.* | | | 221,414 | |
| | 2,850 | | | GCI Liberty Inc.*(a)# | | | — | |
| | 3,860 | | | Iridium Communications Inc. | | | 99,588 | |
| | 5,122 | | | Liberty Global Ltd., Class A Shares* | | | 99,111 | |
| | 5,313 | | | Liberty Global Ltd., Class C Shares* | | | 104,507 | |
| | 235,059 | | | Verizon Communications Inc. | | | 9,820,765 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 14,921,788 | |
| | | | | | | | |
|
| Entertainment — 1.8% | |
| | 8,401 | | | Electronic Arts Inc. | | | 1,275,440 | |
| | 795 | | | Liberty Media Corp.-Liberty Formula One, Class A Shares* | | | 56,143 | |
| | 7,611 | | | Liberty Media Corp.-Liberty Formula One, Class C Shares* | | | 594,039 | |
| | 507 | | | Liberty Media Corp.-Liberty Live, Class A Shares* | | | 20,077 | |
| | 1,427 | | | Liberty Media Corp.-Liberty Live, Class C Shares* | | | 57,608 | |
| | 5,056 | | | Live Nation Entertainment Inc.* | | | 493,819 | |
| | 574 | | | Madison Square Garden Sports Corp., Class A Shares* | | | 119,995 | |
| | 42,159 | | | Netflix Inc.* | | | 29,568,215 | |
| | 2,011 | | | Playtika Holding Corp. | | | 15,223 | |
| | 17,418 | | | ROBLOX Corp., Class A Shares* | | | 766,218 | |
| | 4,013 | | | Roku Inc., Class A Shares* | | | 271,961 | |
| | 4,710 | | | Spotify Technology SA* | | | 1,614,965 | |
| | 5,118 | | | Take-Two Interactive Software Inc.* | | | 827,632 | |
| | 2,969 | | | TKO Group Holdings Inc., Class A Shares | | | 351,025 | |
| | 130,904 | | | Walt Disney Co. (The) | | | 11,831,104 | |
| | 84,762 | | | Warner Bros Discovery Inc.* | | | 664,534 | |
| | | | | | | | |
| | | | Total Entertainment | | | 48,527,998 | |
| | | | | | | | |
|
| Interactive Media & Services — 5.2% | |
| | 279,300 | | | Alphabet Inc., Class A Shares | | | 45,632,034 | |
| | 229,486 | | | Alphabet Inc., Class C Shares | | | 37,890,434 | |
| | 2,373 | | | IAC Inc.* | | | 125,247 | |
| | 8,272 | | | Match Group Inc.* | | | 307,801 | |
| | 98,146 | | | Meta Platforms Inc., Class A Shares | | | 51,164,491 | |
| | 21,999 | | | Pinterest Inc., Class A Shares* | | | 704,848 | |
| | 3,459 | | | TripAdvisor Inc.* | | | 50,190 | |
| | 9,208 | | | ZoomInfo Technologies Inc., Class A Shares* | | | 91,067 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 135,966,112 | |
| | | | | | | | |
|
| Media — 0.7% | |
| | 2,898 | | | Charter Communications Inc., Class A Shares* | | | 1,007,171 | |
| | 244,799 | | | Comcast Corp., Class A Shares | | | 9,686,696 | |
| | 104,304 | | | Fox Corp., Class A Shares | | | 4,315,056 | |
| | 4,075 | | | Fox Corp., Class B Shares | | | 156,602 | |
| | 12,063 | | | Interpublic Group of Cos., Inc. (The) | | | 393,374 | |
| | 680 | | | Liberty Broadband Corp., Class A Shares* | | | 41,650 | |
| | 3,649 | | | Liberty Broadband Corp., Class C Shares* | | | 227,625 | |
| | 4,698 | | | Liberty Media Corp.-Liberty SiriusXM* | | | 111,953 | |
| | 1,933 | | | Liberty Media Corp.-Liberty SiriusXM, Class A Shares* | | | 46,025 | |
| | 4,954 | | | New York Times Co. (The), Class A Shares | | | 272,123 | |
| | 11,984 | | | News Corp., Class A Shares | | | 339,507 | |
| | 3,531 | | | News Corp., Class B Shares | | | 103,917 | |
| | 1,000 | | | Nexstar Media Group Inc., Class A Shares | | | 170,880 | |
| | 6,123 | | | Omnicom Group Inc. | | | 614,933 | |
| | 181 | | | Paramount Global, Class A Shares | | | 4,013 | |
See Notes to Financial Statements.
1
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 8.4% — (continued) | |
|
| Media — 0.7% — (continued) | |
| | 17,746 | | | Paramount Global, Class B Shares(b) | | $ | 185,801 | |
| | 18,261 | | | Sirius XM Holdings Inc.(b) | | | 60,079 | |
| | 13,679 | | | Trade Desk Inc. (The), Class A Shares* | | | 1,429,866 | |
| | | | | | | | |
| | | | Total Media | | | 19,167,271 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.1% | |
| | 15,577 | | | T-Mobile US Inc. | | | 3,095,461 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 221,678,630 | |
| | | | | | | | |
|
| CONSUMER DISCRETIONARY — 9.0% | |
|
| Automobile Components — 0.1% | |
| | 8,401 | | | Aptiv PLC* | | | 600,924 | |
| | 7,048 | | | BorgWarner Inc. | | | 240,125 | |
| | 7,481 | | | Gentex Corp. | | | 234,380 | |
| | 1,770 | | | Lear Corp. | | | 206,471 | |
| | 11,772 | | | QuantumScape Corp., Class A Shares* | | | 68,395 | |
| | | | | | | | |
| | | | Total Automobile Components | | | 1,350,295 | |
| | | | | | | | |
|
| Automobiles — 1.1% | |
| | 121,839 | | | Ford Motor Co. | | | 1,363,378 | |
| | 115,640 | | | General Motors Co. | | | 5,756,559 | |
| | 3,886 | | | Harley-Davidson Inc. | | | 145,492 | |
| | 25,481 | | | Lucid Group Inc.*(b) | | | 102,434 | |
| | 29,968 | | | Rivian Automotive Inc., Class A Shares* | | | 423,448 | |
| | 94,436 | | | Tesla Inc.* | | | 20,219,692 | |
| | 1,665 | | | Thor Industries Inc. | | | 178,588 | |
| | | | | | | | |
| | | | Total Automobiles | | | 28,189,591 | |
| | | | | | | | |
|
| Broadline Retail — 3.5% | |
| | 505,149 | | | Amazon.com Inc.* | | | 90,169,096 | |
| | 39,345 | | | Coupang Inc., Class A Shares* | | | 871,492 | |
| | 355 | | | Dillard’s Inc., Class A Shares | | | 120,334 | |
| | 16,107 | | | eBay Inc. | | | 951,924 | |
| | 3,809 | | | Etsy Inc.* | | | 209,838 | |
| | 3,272 | | | Kohl’s Corp. | | | 63,444 | |
| | 8,133 | | | Macy’s Inc. | | | 126,631 | |
| | 3,383 | | | Nordstrom Inc. | | | 75,576 | |
| | 1,848 | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 165,507 | |
| | | | | | | | |
| | | | Total Broadline Retail | | | 92,753,842 | |
| | | | | | | | |
|
| Distributors — 0.1% | |
| | 4,353 | | | Genuine Parts Co. | | | 623,611 | |
| | 8,358 | | | LKQ Corp. | | | 347,609 | |
| | 1,184 | | | Pool Corp. | | | 416,318 | |
| | | | | | | | |
| | | | Total Distributors | | | 1,387,538 | |
| | | | | | | | |
|
| Diversified Consumer Services — 0.0%@ | |
| | 8,820 | | | ADT Inc. | | | 64,298 | |
| | 1,724 | | | Bright Horizons Family Solutions Inc.* | | | 242,601 | |
| | 1,133 | | | Duolingo Inc., Class A Shares* | | | 240,842 | |
| | 913 | | | Grand Canyon Education Inc.* | | | 132,394 | |
| | 4,352 | | | H&R Block Inc. | | | 275,525 | |
| | 4,522 | | | Service Corp. International | | | 353,937 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 1,309,597 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure — 1.8% | |
| | 14,568 | | | Airbnb Inc., Class A Shares* | | | 1,708,972 | |
| | 7,982 | | | Aramark | | | 292,381 | |
See Notes to Financial Statements.
2
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.0% — (continued) | |
|
| Hotels, Restaurants & Leisure — 1.8% — (continued) | |
| | 1,092 | | | Booking Holdings Inc. | | $ | 4,268,879 | |
| | 2,182 | | | Boyd Gaming Corp. | | | 130,964 | |
| | 6,600 | | | Caesars Entertainment Inc.* | | | 248,424 | |
| | 30,844 | | | Carnival Corp.* | | | 508,926 | |
| | 2,742 | | | Cava Group Inc.* | | | 312,698 | |
| | 44,948 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 2,520,684 | |
| | 904 | | | Choice Hotels International Inc. | | | 115,341 | |
| | 2,249 | | | Churchill Downs Inc. | | | 312,543 | |
| | 31,032 | | | Darden Restaurants Inc. | | | 4,907,711 | |
| | 1,084 | | | Domino’s Pizza Inc. | | | 449,004 | |
| | 10,714 | | | DoorDash Inc., Class A Shares* | | | 1,378,999 | |
| | 16,463 | | | DraftKings Inc., Class A Shares* | | | 567,973 | |
| | 2,827 | | | Dutch Bros Inc., Class A Shares* | | | 87,637 | |
| | 4,127 | | | Expedia Group Inc.* | | | 574,024 | |
| | 51,692 | | | Hilton Worldwide Holdings Inc. | | | 11,353,631 | |
| | 1,319 | | | Hyatt Hotels Corp., Class A Shares | | | 200,382 | |
| | 11,442 | | | Las Vegas Sands Corp. | | | 446,124 | |
| | 2,787 | | | Light & Wonder Inc., Class A Shares* | | | 306,068 | |
| | 7,804 | | | Marriott International Inc., Class A Shares | | | 1,831,521 | |
| | 1,116 | | | Marriott Vacations Worldwide Corp. | | | 82,584 | |
| | 23,083 | | | McDonald’s Corp. | | | 6,663,139 | |
| | 8,632 | | | MGM Resorts International* | | | 324,477 | |
| | 12,759 | | | Norwegian Cruise Line Holdings Ltd.* | | | 228,258 | |
| | 5,004 | | | Penn Entertainment Inc.* | | | 93,174 | |
| | 2,560 | | | Planet Fitness Inc., Class A Shares* | | | 207,898 | |
| | 8,042 | | | Royal Caribbean Cruises Ltd.* | | | 1,323,874 | |
| | 47,496 | | | Starbucks Corp. | | | 4,491,697 | |
| | 2,097 | | | Texas Roadhouse Inc., Class A Shares | | | 353,869 | |
| | 2,199 | | | Travel + Leisure Co. | | | 97,328 | |
| | 1,147 | | | Vail Resorts Inc. | | | 208,410 | |
| | 5,346 | | | Wendy’s Co. (The) | | | 90,454 | |
| | 923 | | | Wingstop Inc. | | | 356,380 | |
| | 2,445 | | | Wyndham Hotels & Resorts Inc. | | | 192,421 | |
| | 3,282 | | | Wynn Resorts Ltd. | | | 252,320 | |
| | 9,601 | | | Yum! Brands Inc. | | | 1,295,367 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 48,784,536 | |
| | | | | | | | |
|
| Household Durables — 0.3% | |
| | 9,822 | | | DR Horton Inc. | | | 1,854,001 | |
| | 4,768 | | | Garmin Ltd. | | | 873,927 | |
| | 3,726 | | | Leggett & Platt Inc. | | | 47,097 | |
| | 7,519 | | | Lennar Corp., Class A Shares | | | 1,368,909 | |
| | 406 | | | Lennar Corp., Class B Shares | | | 68,545 | |
| | 1,651 | | | Mohawk Industries Inc.* | | | 256,136 | |
| | 12,170 | | | Newell Brands Inc. | | | 86,285 | |
| | 104 | | | NVR Inc.* | | | 953,936 | |
| | 6,648 | | | PulteGroup Inc. | | | 875,209 | |
| | 2,044 | | | SharkNinja Inc. | | | 195,856 | |
| | 5,308 | | | Tempur Sealy International Inc. | | | 278,298 | |
| | 3,246 | | | Toll Brothers Inc. | | | 467,651 | |
| | 989 | | | TopBuild Corp.* | | | 388,697 | |
| | 1,679 | | | Whirlpool Corp. | | | 168,387 | |
| | | | | | | | |
| | | | Total Household Durables | | | 7,882,934 | |
| | | | | | | | |
See Notes to Financial Statements.
3
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.0% — (continued) | |
|
| Leisure Products — 0.0%@ | |
| | 2,070 | | | Brunswick Corp. | | $ | 163,634 | |
| | 5,819 | | | Hasbro Inc. | | | 396,623 | |
| | 10,844 | | | Mattel Inc.* | | | 205,819 | |
| | 1,768 | | | Polaris Inc. | | | 149,661 | |
| | 2,747 | | | YETI Holdings Inc.* | | | 110,759 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 1,026,496 | |
| | | | | | | | |
|
| Specialty Retail — 1.8% | |
| | 1,783 | | | Advance Auto Parts Inc. | | | 80,788 | |
| | 922 | | | AutoNation Inc.* | | | 164,097 | |
| | 575 | | | AutoZone Inc.* | | | 1,829,351 | |
| | 7,122 | | | Bath & Body Works Inc. | | | 219,073 | |
| | 7,405 | | | Best Buy Co., Inc. | | | 743,462 | |
| | 2,007 | | | Burlington Stores Inc.* | | | 538,358 | |
| | 4,955 | | | CarMax Inc.* | | | 418,945 | |
| | 3,256 | | | Carvana Co., Class A Shares* | | | 490,419 | |
| | 1,760 | | | Dick’s Sporting Goods Inc. | | | 417,049 | |
| | 1,645 | | | Five Below Inc.* | | | 124,082 | |
| | 3,259 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 366,442 | |
| | 8,491 | | | GameStop Corp., Class A Shares*(b) | | | 198,859 | |
| | 6,070 | | | Gap Inc. (The) | | | 136,150 | |
| | 31,776 | | | Home Depot Inc. (The) | | | 11,709,456 | |
| | 825 | | | Lithia Motors Inc., Class A Shares | | | 248,391 | |
| | 47,275 | | | Lowe’s Cos., Inc. | | | 11,747,837 | |
| | 595 | | | Murphy USA Inc. | | | 309,180 | |
| | 8,600 | | | O’Reilly Automotive Inc.* | | | 9,717,742 | |
| | 598 | | | Penske Automotive Group Inc. | | | 101,720 | |
| | 497 | | | RH* | | | 126,089 | |
| | 10,261 | | | Ross Stores Inc. | | | 1,545,409 | |
| | 36,299 | | | TJX Cos., Inc. (The) | | | 4,256,784 | |
| | 3,354 | | | Tractor Supply Co. | | | 897,363 | |
| | 1,505 | | | Ulta Beauty Inc.* | | | 531,024 | |
| | 4,520 | | | Valvoline Inc.* | | | 190,744 | |
| | 2,676 | | | Wayfair Inc., Class A Shares* | | | 113,864 | |
| | 3,954 | | | Williams-Sonoma Inc. | | | 531,141 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 47,753,819 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 0.3% | |
| | 8,878 | | | Amer Sports Inc.* | | | 121,185 | |
| | 2,776 | | | Birkenstock Holding PLC* | | | 138,523 | |
| | 3,273 | | | Capri Holdings Ltd.* | | | 116,912 | |
| | 1,227 | | | Carter’s Inc. | | | 80,859 | |
| | 1,025 | | | Columbia Sportswear Co. | | | 82,748 | |
| | 1,839 | | | Crocs Inc.* | | | 268,807 | |
| | 794 | | | Deckers Outdoor Corp.* | | | 761,676 | |
| | 3,865 | | | lululemon athletica Inc.* | | | 1,002,852 | |
| | 38,531 | | | NIKE Inc., Class B Shares | | | 3,210,403 | |
| | 1,796 | | | PVH Corp. | | | 177,247 | |
| | 1,263 | | | Ralph Lauren Corp., Class A Shares | | | 216,301 | |
| | 4,059 | | | Skechers USA Inc., Class A Shares* | | | 277,960 | |
| | 6,955 | | | Tapestry Inc. | | | 284,946 | |
| | 5,673 | | | Under Armour Inc., Class A Shares* | | | 43,625 | |
| | 7,178 | | | Under Armour Inc., Class C Shares* | | | 53,548 | |
| | 11,444 | | | V.F. Corp. | | | 208,395 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 7,045,987 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 237,484,635 | |
| | | | | | | | |
See Notes to Financial Statements.
4
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.9% | |
|
| Beverages — 1.1% | |
| | 309 | | | Boston Beer Co., Inc. (The), Class A Shares* | | $ | 83,961 | |
| | 1,581 | | | Brown-Forman Corp., Class A Shares | | | 72,331 | |
| | 5,788 | | | Brown-Forman Corp., Class B Shares | | | 263,875 | |
| | 7,646 | | | Celsius Holdings Inc.* | | | 290,777 | |
| | 124,362 | | | Coca-Cola Co. (The) | | | 9,012,514 | |
| | 182 | | | Coca-Cola Consolidated Inc. | | | 244,317 | |
| | 5,000 | | | Constellation Brands Inc., Class A Shares | | | 1,203,550 | |
| | 36,191 | | | Keurig Dr Pepper Inc. | | | 1,324,953 | |
| | 5,533 | | | Molson Coors Beverage Co., Class B Shares | | | 298,616 | |
| | 74,101 | | | Monster Beverage Corp.* | | | 3,492,380 | |
| | 70,345 | | | PepsiCo Inc. | | | 12,161,244 | |
| | | | | | | | |
| | | | Total Beverages | | | 28,448,518 | |
| | | | | | | | |
|
| Consumer Staples Distribution & Retail — 1.6% | |
| | 13,245 | | | Albertsons Cos., Inc., Class A Shares | | | 259,867 | |
| | 4,168 | | | BJ’s Wholesale Club Holdings Inc.* | | | 333,273 | |
| | 1,165 | | | Casey’s General Stores Inc. | | | 422,091 | |
| | 18,517 | | | Costco Wholesale Corp. | | | 16,524,201 | |
| | 6,801 | | | Dollar General Corp. | | | 564,279 | |
| | 6,375 | | | Dollar Tree Inc.* | | | 538,624 | |
| | 2,938 | | | Grocery Outlet Holding Corp.* | | | 55,646 | |
| | 22,607 | | | Kroger Co. (The) | | | 1,202,919 | |
| | 5,314 | | | Maplebear Inc.* | | | 190,719 | |
| | 4,817 | | | Performance Food Group Co.* | | | 359,541 | |
| | 17,043 | | | Sysco Corp. | | | 1,328,843 | |
| | 66,773 | | | Target Corp. | | | 10,257,668 | |
| | 7,092 | | | US Foods Holding Corp.* | | | 419,917 | |
| | 22,452 | | | Walgreens Boots Alliance Inc. | | | 207,681 | |
| | 139,040 | | | Walmart Inc. | | | 10,738,059 | |
| | | | | | | | |
| | | | Total Consumer Staples Distribution & Retail | | | 43,403,328 | |
| | | | | | | | |
|
| Food Products — 0.8% | |
| | 15,230 | | | Archer-Daniels-Midland Co. | | | 928,878 | |
| | 4,490 | | | Bunge Global SA | | | 455,196 | |
| | 6,084 | | | Campbell Soup Co. | | | 302,497 | |
| | 14,789 | | | Conagra Brands Inc. | | | 461,417 | |
| | 4,866 | | | Darling Ingredients Inc.* | | | 203,058 | |
| | 5,643 | | | Flowers Foods Inc. | | | 131,143 | |
| | 1,387 | | | Freshpet Inc.* | | | 188,632 | |
| | 17,634 | | | General Mills Inc. | | | 1,274,762 | |
| | 4,654 | | | Hershey Co. (The) | | | 898,501 | |
| | 9,182 | | | Hormel Foods Corp. | | | 298,874 | |
| | 2,001 | | | Ingredion Inc. | | | 268,754 | |
| | 3,218 | | | J.M. Smucker Co. (The) | | | 369,040 | |
| | 8,064 | | | Kellanova | | | 650,039 | |
| | 27,453 | | | Kraft Heinz Co. (The) | | | 972,660 | |
| | 4,540 | | | Lamb Weston Holdings Inc. | | | 281,117 | |
| | 7,799 | | | McCormick & Co., Inc., Class VTG Shares | | | 624,154 | |
| | 120,185 | | | Mondelez International Inc., Class A Shares | | | 8,630,485 | |
| | 1,166 | | | Pilgrim’s Pride Corp.* | | | 54,312 | |
| | 1,564 | | | Post Holdings Inc.* | | | 181,064 | |
| | 8 | | | Seaboard Corp. | | | 24,883 | |
| | 54,986 | | | Tyson Foods Inc., Class A Shares | | | 3,536,150 | |
| | | | | | | | |
| | | | Total Food Products | | | 20,735,616 | |
| | | | | | | | |
See Notes to Financial Statements.
5
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.9% — (continued) | |
|
| Household Products — 0.9% | |
| | 7,582 | | | Church & Dwight Co., Inc. | | $ | 772,454 | |
| | 3,838 | | | Clorox Co. (The) | | | 607,594 | |
| | 26,290 | | | Colgate-Palmolive Co. | | | 2,799,885 | |
| | 10,460 | | | Kimberly-Clark Corp. | | | 1,513,144 | |
| | 103,854 | | | Procter & Gamble Co. (The) | | | 17,815,115 | |
| | 1,594 | | | Reynolds Consumer Products Inc. | | | 50,211 | |
| | 1,110 | | | Spectrum Brands Holdings Inc. | | | 104,695 | |
| | | | | | | | |
| | | | Total Household Products | | | 23,663,098 | |
| | | | | | | | |
|
| Personal Care Products — 0.1% | |
| | 4,024 | | | BellRing Brands Inc.* | | | 225,062 | |
| | 11,194 | | | Coty Inc., Class A Shares* | | | 105,000 | |
| | 1,634 | | | elf Beauty Inc.* | | | 244,757 | |
| | 14,938 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 1,369,217 | |
| | 59,531 | | | Kenvue Inc. | | | 1,306,705 | |
| | | | | | | | |
| | | | Total Personal Care Products | | | 3,250,741 | |
| | | | | | | | |
|
| Tobacco — 0.4% | |
| | 55,474 | | | Altria Group Inc. | | | 2,982,837 | |
| | 49,800 | | | Philip Morris International Inc. | | | 6,139,842 | |
| | | | | | | | |
| | | | Total Tobacco | | | 9,122,679 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 128,623,980 | |
| | | | | | | | |
|
| ENERGY — 3.5% | |
|
| Energy Equipment & Services — 0.4% | |
| | 31,000 | | | Baker Hughes Co., Class A Shares | | | 1,090,270 | |
| | 27,887 | | | Halliburton Co. | | | 867,007 | |
| | 11,890 | | | NOV Inc. | | | 211,285 | |
| | 187,683 | | | Schlumberger NV | | | 8,256,175 | |
| | 13,617 | | | TechnipFMC PLC | | | 365,480 | |
| | 2,228 | | | Weatherford International PLC | | | 233,807 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 11,024,024 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 3.1% | |
| | 10,272 | | | Antero Midstream Corp. | | | 152,745 | |
| | 8,937 | | | Antero Resources Corp.* | | | 241,210 | |
| | 11,452 | | | APA Corp. | | | 326,267 | |
| | 7,093 | | | Cheniere Energy Inc. | | | 1,314,049 | |
| | 3,886 | | | Chesapeake Energy Corp.(b) | | | 289,468 | |
| | 55,194 | | | Chevron Corp. | | | 8,165,952 | |
| | 1,908 | | | Chord Energy Corp. | | | 283,204 | |
| | 3,086 | | | Civitas Resources Inc. | | | 189,264 | |
| | 99,085 | | | ConocoPhillips | | | 11,274,882 | |
| | 23,168 | | | Coterra Energy Inc. | | | 563,677 | |
| | 19,437 | | | Devon Energy Corp. | | | 870,389 | |
| | 5,537 | | | Diamondback Energy Inc. | | | 1,080,324 | |
| | 3,023 | | | DT Midstream Inc. | | | 237,578 | |
| | 58,616 | | | EOG Resources Inc. | | | 7,550,913 | |
| | 18,201 | | | EQT Corp. | | | 609,915 | |
| | 248,516 | | | Exxon Mobil Corp. | | | 29,309,977 | |
| | 9,529 | | | Hess Corp. | | | 1,315,574 | |
| | 4,831 | | | HF Sinclair Corp. | | | 237,395 | |
| | 60,886 | | | Kinder Morgan Inc. | | | 1,313,311 | |
| | 18,123 | | | Marathon Oil Corp. | | | 519,224 | |
| | 11,596 | | | Marathon Petroleum Corp. | | | 2,053,884 | |
| | 3,630 | | | Matador Resources Co. | | | 205,894 | |
See Notes to Financial Statements.
6
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| ENERGY — 3.5% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.1% — (continued) | |
| | 2,028 | | | New Fortress Energy Inc., Class A Shares(b) | | $ | 24,985 | |
| | 21,872 | | | Occidental Petroleum Corp. | | | 1,246,267 | |
| | 19,463 | | | ONEOK Inc. | | | 1,797,603 | |
| | 10,906 | | | Ovintiv Inc. | | | 467,104 | |
| | 19,392 | | | Permian Resources Corp., Class A Shares | | | 276,142 | |
| | 39,861 | | | Phillips 66 | | | 5,592,897 | |
| | 7,450 | | | Range Resources Corp. | | | 222,606 | |
| | 35,039 | | | Southwestern Energy Co.* | | | 223,549 | |
| | 6,860 | | | Targa Resources Corp. | | | 1,007,734 | |
| | 582 | | | Texas Pacific Land Corp. | | | 505,694 | |
| | 10,071 | | | Valero Energy Corp. | | | 1,477,718 | |
| | 2,820 | | | Viper Energy Inc., Class A Shares | | | 134,232 | |
| | 37,807 | | | Williams Cos., Inc. (The) | | | 1,730,426 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 82,812,053 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 93,836,077 | |
| | | | | | | | |
|
| FINANCIALS — 16.0% | |
|
| Banks — 3.4% | |
| | 418,287 | | | Bank of America Corp. | | | 17,045,195 | |
| | 3,293 | | | Bank OZK | | | 142,752 | |
| | 792 | | | BOK Financial Corp. | | | 83,120 | |
| | 61,425 | | | Citigroup Inc. | | | 3,847,662 | |
| | 14,435 | | | Citizens Financial Group Inc. | | | 621,427 | |
| | 6,330 | | | Columbia Banking System Inc. | | | 159,389 | |
| | 4,040 | | | Comerica Inc. | | | 230,724 | |
| | 3,719 | | | Commerce Bancshares Inc. | | | 237,867 | |
| | 1,830 | | | Cullen/Frost Bankers Inc. | | | 205,381 | |
| | 4,428 | | | East West Bancorp Inc. | | | 372,262 | |
| | 21,067 | | | Fifth Third Bancorp | | | 899,350 | |
| | 399 | | | First Citizens BancShares Inc., Class A Shares | | | 810,249 | |
| | 3,636 | | | First Hawaiian Inc. | | | 88,464 | |
| | 17,694 | | | First Horizon Corp. | | | 293,543 | |
| | 11,653 | | | FNB Corp. | | | 174,562 | |
| | 44,638 | | | Huntington Bancshares Inc. | | | 668,231 | |
| | 165,368 | | | JPMorgan Chase & Co. | | | 37,174,726 | |
| | 29,063 | | | KeyCorp | | | 495,815 | |
| | 5,134 | | | M&T Bank Corp. | | | 883,613 | |
| | 98,288 | | | NU Holdings Ltd., Class A Shares* | | | 1,471,371 | |
| | 2,372 | | | Pinnacle Financial Partners Inc. | | | 236,180 | |
| | 13,068 | | | PNC Financial Services Group Inc. (The) | | | 2,418,756 | |
| | 2,113 | | | Popular Inc. | | | 216,583 | |
| | 2,786 | | | Prosperity Bancshares Inc. | | | 204,994 | |
| | 28,679 | | | Regions Financial Corp. | | | 671,662 | |
| | 4,613 | | | Synovus Financial Corp. | | | 212,752 | |
| | 1,501 | | | TFS Financial Corp. | | | 20,384 | |
| | 85,623 | | | Truist Financial Corp. | | | 3,806,799 | |
| | 51,147 | | | US Bancorp | | | 2,415,673 | |
| | 5,220 | | | Webster Financial Corp. | | | 247,585 | |
| | 232,947 | | | Wells Fargo & Co. | | | 13,620,411 | |
| | 3,246 | | | Western Alliance Bancorp | | | 265,133 | |
| | 3,020 | | | Wintrust Financial Corp. | | | 328,576 | |
| | 4,368 | | | Zions Bancorp NA | | | 216,478 | |
| | | | | | | | |
| | | | Total Banks | | | 90,787,669 | |
| | | | | | | | |
See Notes to Financial Statements.
7
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 16.0% — (continued) | |
|
| Capital Markets — 4.7% | |
| | 1,040 | | | Affiliated Managers Group Inc. | | $ | 180,783 | |
| | 3,110 | | | Ameriprise Financial Inc. | | | 1,397,758 | |
| | 6,042 | | | Ares Management Corp., Class A Shares | | | 884,549 | |
| | 23,603 | | | Bank of New York Mellon Corp. (The) | | | 1,610,197 | |
| | 13,699 | | | BlackRock Inc., Class A Shares | | | 12,353,895 | |
| | 23,041 | | | Blackstone Inc. | | | 3,280,117 | |
| | 21,634 | | | Blue Owl Capital Inc., Class A Shares | | | 381,624 | |
| | 20,291 | | | Brookfield Asset Management Ltd., Class A Shares | | | 827,061 | |
| | 342,613 | | | Brookfield Corp. | | | 17,226,582 | |
| | 6,690 | | | Carlyle Group Inc. (The) | | | 268,470 | |
| | 3,264 | | | Cboe Global Markets Inc. | | | 670,426 | |
| | 142,603 | | | Charles Schwab Corp. (The) | | | 9,283,455 | |
| | 11,736 | | | CME Group Inc., Class A Shares | | | 2,531,925 | |
| | 6,715 | | | Coinbase Global Inc., Class A Shares* | | | 1,231,262 | |
| | 1,021 | | | Evercore Inc., Class A Shares | | | 250,901 | |
| | 1,191 | | | FactSet Research Systems Inc. | | | 503,602 | |
| | 9,236 | | | Franklin Resources Inc. | | | 186,937 | |
| | 10,102 | | | Goldman Sachs Group Inc. (The) | | | 5,154,546 | |
| | 1,577 | | | Houlihan Lokey Inc., Class A Shares | | | 246,990 | |
| | 3,233 | | | Interactive Brokers Group Inc., Class A Shares | | | 416,701 | |
| | 68,844 | | | Intercontinental Exchange Inc. | | | 11,121,748 | |
| | 10,906 | | | Invesco Ltd. | | | 186,384 | |
| | 4,227 | | | Janus Henderson Group PLC | | | 158,977 | |
| | 5,516 | | | Jefferies Financial Group Inc. | | | 330,684 | |
| | 93,523 | | | KKR & Co., Inc., Class Miscella Shares | | | 11,575,342 | |
| | 3,370 | | | Lazard Inc., Class A Shares | | | 168,871 | |
| | 2,339 | | | LPL Financial Holdings Inc. | | | 524,731 | |
| | 1,193 | | | MarketAxess Holdings Inc. | | | 289,171 | |
| | 15,922 | | | Moody’s Corp. | | | 7,765,796 | |
| | 37,186 | | | Morgan Stanley(c) | | | 3,852,841 | |
| | 779 | | | Morningstar Inc. | | | 244,427 | |
| | 6,238 | | | MSCI Inc., Class A Shares | | | 3,621,720 | |
| | 12,699 | | | Nasdaq Inc. | | | 915,344 | |
| | 6,278 | | | Northern Trust Corp. | | | 572,616 | |
| | 5,872 | | | Raymond James Financial Inc. | | | 702,115 | |
| | 25,800 | | | Robinhood Markets Inc., Class A Shares* | | | 519,096 | |
| | 31,316 | | | S&P Global Inc. | | | 16,072,624 | |
| | 3,016 | | | SEI Investments Co. | | | 203,972 | |
| | 34,127 | | | State Street Corp. | | | 2,972,462 | |
| | 3,129 | | | Stifel Financial Corp. | | | 275,790 | |
| | 6,846 | | | T. Rowe Price Group Inc. | | | 725,950 | |
| | 4,676 | | | TPG Inc., Class A Shares | | | 235,904 | |
| | 3,586 | | | Tradeweb Markets Inc., Class A Shares | | | 424,009 | |
| | 2,820 | | | Virtu Financial Inc., Class A Shares | | | 86,602 | |
| | 16,067 | | | XP Inc., Class A Shares | | | 295,793 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 122,730,750 | |
| | | | | | | | |
|
| Consumer Finance — 0.5% | |
| | 8,125 | | | Ally Financial Inc. | | | 350,919 | |
| | 35,582 | | | American Express Co. | | | 9,203,284 | |
| | 11,768 | | | Capital One Financial Corp. | | | 1,729,072 | |
| | 197 | | | Credit Acceptance Corp.* | | | 91,906 | |
| | 7,743 | | | Discover Financial Services | | | 1,074,032 | |
| | 3,585 | | | OneMain Holdings Inc., Class A Shares | | | 177,135 | |
| | 6,798 | | | SLM Corp. | | | 149,964 | |
| | 45,623 | | | SoFi Technologies Inc.* | | | 364,528 | |
| | 12,571 | | | Synchrony Financial | | | 631,818 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 13,772,658 | |
| | | | | | | | |
See Notes to Financial Statements.
8
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 16.0% — (continued) | |
|
| Financial Services — 4.7% | |
| | 7,277 | | | Affirm Holdings Inc., Class A Shares* | | $ | 320,261 | |
| | 17,327 | | | Apollo Global Management Inc. | | | 2,005,254 | |
| | 77,163 | | | Berkshire Hathaway Inc., Class B Shares* | | | 36,723,415 | |
| | 19,044 | | | Block Inc., Class A Shares* | | | 1,258,427 | |
| | 2,215 | | | Corpay Inc.* | | | 698,943 | |
| | 9,550 | | | Equitable Holdings Inc. | | | 406,066 | |
| | 1,384 | | | Euronet Worldwide Inc.* | | | 149,347 | |
| | 17,362 | | | Fidelity National Information Services Inc. | | | 1,431,497 | |
| | 18,724 | | | Fiserv Inc.* | | | 3,269,210 | |
| | 8,004 | | | Global Payments Inc. | | | 888,524 | |
| | 2,277 | | | Jack Henry & Associates Inc. | | | 393,989 | |
| | 59,746 | | | MasterCard Inc., Class A Shares | | | 28,877,632 | |
| | 8,542 | | | MGIC Investment Corp. | | | 217,223 | |
| | 136,947 | | | PayPal Holdings Inc.* | | | 9,919,071 | |
| | 4,640 | | | Rocket Cos., Inc., Class A Shares* | | | 91,176 | |
| | 1,742 | | | Shift4 Payments Inc., Class A Shares* | | | 144,760 | |
| | 17,187 | | | Toast Inc., Class A Shares* | | | 427,269 | |
| | 3,045 | | | UWM Holdings Corp. | | | 28,623 | |
| | 132,967 | | | Visa Inc., Class A Shares | | | 36,748,090 | |
| | 3,002 | | | Voya Financial Inc. | | | 212,632 | |
| | 6,595 | | | Western Union Co. (The) | | | 80,459 | |
| | 1,283 | | | WEX Inc.* | | | 245,079 | |
| | | | | | | | |
| | | | Total Financial Services | | | 124,536,947 | |
| | | | | | | | |
|
| Insurance — 2.7% | |
| | 18,819 | | | Aflac Inc. | | | 2,076,865 | |
| | 8,142 | | | Allstate Corp. (The) | | | 1,538,349 | |
| | 2,274 | | | American Financial Group Inc. | | | 303,852 | |
| | 22,459 | | | American International Group Inc. | | | 1,730,466 | |
| | 6,154 | | | Aon PLC, Class A Shares | | | 2,115,253 | |
| | 12,254 | | | Arch Capital Group Ltd.* | | | 1,385,805 | |
| | 7,074 | | | Arthur J. Gallagher & Co. | | | 2,069,640 | |
| | 1,588 | | | Assurant Inc. | | | 311,804 | |
| | 1,699 | | | Assured Guaranty Ltd. | | | 136,056 | |
| | 2,527 | | | Axis Capital Holdings Ltd. | | | 201,857 | |
| | 1,934 | | | Brighthouse Financial Inc.* | | | 88,771 | |
| | 7,358 | | | Brown & Brown Inc. | | | 773,547 | |
| | 13,060 | | | Chubb Ltd. | | | 3,711,391 | |
| | 4,764 | | | Cincinnati Financial Corp. | | | 652,811 | |
| | 929 | | | CNA Financial Corp. | | | 48,234 | |
| | 1,329 | | | Everest Group Ltd. | | | 521,287 | |
| | 6,614 | | | Fidelity National Financial Inc. | | | 389,961 | |
| | 3,281 | | | First American Financial Corp. | | | 209,328 | |
| | 2,845 | | | Globe Life Inc. | | | 298,867 | |
| | 1,160 | | | Hanover Insurance Group Inc. (The) | | | 170,508 | |
| | 71,773 | | | Hartford Financial Services Group Inc. (The) | | | 8,332,845 | |
| | 2,021 | | | Kemper Corp. | | | 126,333 | |
| | 695 | | | Kinsale Capital Group Inc. | | | 341,308 | |
| | 4,059 | | | Lincoln National Corp. | | | 130,294 | |
| | 5,697 | | | Loews Corp. | | | 466,812 | |
| | 408 | | | Markel Group Inc.* | | | 653,077 | |
| | 28,816 | | | Marsh & McLennan Cos., Inc. | | | 6,555,928 | |
| | 18,416 | | | MetLife Inc. | | | 1,426,872 | |
| | 8,207 | | | Old Republic International Corp. | | | 294,385 | |
| | 1,090 | | | Primerica Inc. | | | 286,921 | |
| | 7,362 | | | Principal Financial Group Inc. | | | 599,414 | |
See Notes to Financial Statements.
9
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 16.0% — (continued) | |
|
| Insurance — 2.7% — (continued) | |
| | 76,360 | | | Progressive Corp. (The) | | $ | 19,257,992 | |
| | 33,998 | | | Prudential Financial Inc. | | | 4,119,198 | |
| | 2,069 | | | Reinsurance Group of America Inc., Class A Shares | | | 456,752 | |
| | 2,049 | | | RenaissanceRe Holdings Ltd. | | | 522,065 | |
| | 1,281 | | | RLI Corp. | | | 197,402 | |
| | 3,046 | | | Ryan Specialty Holdings Inc., Class A Shares | | | 196,863 | |
| | 32,301 | | | Travelers Cos., Inc. (The) | | | 7,366,889 | |
| | 4,605 | | | Unum Group | | | 255,531 | |
| | 81 | | | White Mountains Insurance Group Ltd. | | | 149,383 | |
| | 3,209 | | | Willis Towers Watson PLC | | | 937,381 | |
| | 11,424 | | | WR Berkley Corp. | | | 682,013 | |
| | | | | | | | |
| | | | Total Insurance | | | 72,090,310 | |
| | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.0%@ | |
| | 20,790 | | | AGNC Investment Corp. | | | 212,266 | |
| | 15,771 | | | Annaly Capital Management Inc. | | | 317,943 | |
| | 15,439 | | | Rithm Capital Corp. | | | 184,342 | |
| | 9,325 | | | Starwood Property Trust Inc. | | | 194,333 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 908,884 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 424,827,218 | |
| | | | | | | | |
|
| HEALTH CARE — 12.5% | |
|
| Biotechnology — 1.8% | |
| | 95,914 | | | AbbVie Inc. | | | 18,828,877 | |
| | 4,334 | | | Alnylam Pharmaceuticals Inc.* | | | 1,138,498 | |
| | 30,785 | | | Amgen Inc. | | | 10,276,957 | |
| | 3,284 | | | Apellis Pharmaceuticals Inc.* | | | 127,748 | |
| | 4,472 | | | Biogen Inc.* | | | 915,687 | |
| | 5,811 | | | BioMarin Pharmaceutical Inc.* | | | 530,021 | |
| | 5,708 | | | Exact Sciences Corp.* | | | 352,127 | |
| | 9,222 | | | Exelixis Inc.* | | | 240,049 | |
| | 40,435 | | | Gilead Sciences Inc. | | | 3,194,365 | |
| | 818 | | | GRAIL Inc.* | | | 11,542 | |
| | 5,793 | | | Incyte Corp.* | | | 380,368 | |
| | 4,454 | | | Ionis Pharmaceuticals Inc.* | | | 212,367 | |
| | 9,982 | | | Moderna Inc.* | | | 772,607 | |
| | 4,412 | | | Natera Inc.* | | | 521,763 | |
| | 3,820 | | | Neurocrine Biosciences Inc.* | | | 485,369 | |
| | 3,347 | | | Regeneron Pharmaceuticals Inc.* | | | 3,965,157 | |
| | 10,710 | | | Roivant Sciences Ltd.* | | | 130,983 | |
| | 2,812 | | | Sarepta Therapeutics Inc.* | | | 381,813 | |
| | 2,454 | | | Ultragenyx Pharmaceutical Inc.* | | | 139,338 | |
| | 1,411 | | | United Therapeutics Corp.* | | | 512,969 | |
| | 8,283 | | | Vertex Pharmaceuticals Inc.* | | | 4,107,457 | |
| | 3,248 | | | Viking Therapeutics Inc.* | | | 208,262 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 47,434,324 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 2.8% | |
| | 121,955 | | | Abbott Laboratories | | | 13,813,843 | |
| | 29,270 | | | Alcon Inc. | | | 2,859,094 | |
| | 2,370 | | | Align Technology Inc.* | | | 562,211 | |
| | 15,690 | | | Baxter International Inc. | | | 595,279 | |
| | 33,841 | | | Becton Dickinson and Co. | | | 8,203,397 | |
| | 150,474 | | | Boston Scientific Corp.* | | | 12,307,268 | |
| | 6,031 | | | Cooper Cos Inc.(The)* | | | 637,658 | |
| | 6,518 | | | DENTSPLY SIRONA Inc. | | | 164,840 | |
See Notes to Financial Statements.
10
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 12.5% — (continued) | |
|
| Health Care Equipment & Supplies — 2.8% — (continued) | |
| | 13,705 | | | DexCom Inc.* | | $ | 950,305 | |
| | 18,695 | | | Edwards Lifesciences Corp.* | | | 1,307,902 | |
| | 1,498 | | | Enovis Corp.* | | | 69,807 | |
| | 5,072 | | | Envista Holdings Corp.* | | | 92,615 | |
| | 14,400 | | | GE HealthCare Technologies Inc. | | | 1,221,408 | |
| | 3,699 | | | Globus Medical Inc., Class A Shares* | | | 268,917 | |
| | 7,179 | | | Hologic Inc.* | | | 583,222 | |
| | 6,398 | | | IDEXX Laboratories Inc.* | | | 3,079,549 | |
| | 888 | | | Inspire Medical Systems Inc.* | | | 159,680 | |
| | 2,165 | | | Insulet Corp.* | | | 438,997 | |
| | 23,532 | | | Intuitive Surgical Inc.* | | | 11,592,569 | |
| | 1,296 | | | Masimo Corp.* | | | 152,306 | |
| | 42,649 | | | Medtronic PLC | | | 3,777,848 | |
| | 1,100 | | | Penumbra Inc.* | | | 222,552 | |
| | 1,797 | | | QuidelOrtho Corp.* | | | 75,923 | |
| | 4,506 | | | ResMed Inc. | | | 1,104,060 | |
| | 4,164 | | | Solventum Corp.* | | | 266,954 | |
| | 3,078 | | | STERIS PLC | | | 742,106 | |
| | 20,992 | | | Stryker Corp. | | | 7,565,937 | |
| | 1,481 | | | Teleflex Inc. | | | 363,097 | |
| | 6,518 | | | Zimmer Biomet Holdings Inc. | | | 752,568 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 73,931,912 | |
| | | | | | | | |
|
| Health Care Providers & Services — 2.6% | |
| | 2,770 | | | Acadia Healthcare Co., Inc.* | | | 226,946 | |
| | 1,025 | | | Amedisys Inc.* | | | 100,460 | |
| | 7,656 | | | Cardinal Health Inc. | | | 862,984 | |
| | 30,102 | | | Cencora Inc. | | | 7,211,536 | |
| | 16,569 | | | Centene Corp.* | | | 1,306,134 | |
| | 469 | | | Chemed Corp. | | | 274,914 | |
| | 8,967 | | | Cigna Group (The) | | | 3,244,350 | |
| | 104,479 | | | CVS Health Corp. | | | 5,980,378 | |
| | 1,670 | | | DaVita Inc.* | | | 252,037 | |
| | 7,448 | | | Elevance Health Inc. | | | 4,147,717 | |
| | 2,979 | | | Encompass Health Corp. | | | 277,196 | |
| | 6,293 | | | HCA Healthcare Inc. | | | 2,489,448 | |
| | 4,129 | | | Henry Schein Inc.* | | | 291,301 | |
| | 3,724 | | | Humana Inc. | | | 1,320,046 | |
| | 2,631 | | | Labcorp Holdings Inc. | | | 604,841 | |
| | 4,279 | | | McKesson Corp. | | | 2,400,861 | |
| | 1,793 | | | Molina Healthcare Inc.* | | | 627,174 | |
| | 3,625 | | | Premier Inc., Class A Shares | | | 73,841 | |
| | 3,475 | | | Quest Diagnostics Inc. | | | 545,471 | |
| | 4,270 | | | R1 RCM Inc.* | | | 60,250 | |
| | 3,145 | | | Tenet Healthcare Corp.* | | | 521,567 | |
| | 60,052 | | | UnitedHealth Group Inc. | | | 35,442,690 | |
| | 1,869 | | | Universal Health Services Inc., Class B Shares | | | 444,766 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 68,706,908 | |
| | | | | | | | |
|
| Health Care Technology — 0.0%@ | |
| | 3,535 | | | Certara Inc.* | | | 43,304 | |
| | 3,617 | | | Doximity Inc., Class A Shares* | | | 133,033 | |
| | 5,119 | | | Veeva Systems Inc., Class A Shares* | | | 1,107,956 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 1,284,293 | |
| | | | | | | | |
See Notes to Financial Statements.
11
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 12.5% — (continued) | |
|
| Life Sciences Tools & Services — 2.1% | |
| | 3,003 | | | 10X Genomics Inc., Class A Shares* | | $ | 70,120 | |
| | 9,947 | | | Agilent Technologies Inc. | | | 1,421,625 | |
| | 158,852 | | | Avantor Inc.* | | | 4,104,736 | |
| | 1,652 | | | Azenta Inc.* | | | 81,807 | |
| | 655 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 220,945 | |
| | 4,869 | | | Bio-Techne Corp. | | | 360,257 | |
| | 3,013 | | | Bruker Corp. | | | 202,444 | |
| | 1,596 | | | Charles River Laboratories International Inc.* | | | 315,609 | |
| | 62,252 | | | Danaher Corp. | | | 16,765,086 | |
| | 2,657 | | | Fortrea Holdings Inc.* | | | 61,271 | |
| | 4,908 | | | Illumina Inc.* | | | 644,911 | |
| | 5,648 | | | IQVIA Holdings Inc.* | | | 1,420,754 | |
| | 1,059 | | | Medpace Holdings Inc.* | | | 376,231 | |
| | 664 | | | Mettler-Toledo International Inc.* | | | 955,549 | |
| | 6,638 | | | QIAGEN NV* | | | 303,423 | |
| | 1,769 | | | Repligen Corp.* | | | 266,995 | |
| | 3,863 | | | Revvity Inc. | | | 473,372 | |
| | 3,386 | | | Sotera Health Co.* | | | 52,280 | |
| | 42,770 | | | Thermo Fisher Scientific Inc. | | | 26,306,544 | |
| | 1,817 | | | Waters Corp.* | | | 629,318 | |
| | 2,297 | | | West Pharmaceutical Services Inc. | | | 720,408 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 55,753,685 | |
| | | | | | | | |
|
| Pharmaceuticals — 3.2% | |
| | 65,813 | | | Bristol-Myers Squibb Co. | | | 3,287,359 | |
| | 5,674 | | | Catalent Inc.* | | | 345,887 | |
| | 14,967 | | | Elanco Animal Health Inc.* | | | 231,540 | |
| | 31,251 | | | Eli Lilly & Co. | | | 30,001,585 | |
| | 3,179 | | | Intra-Cellular Therapies Inc.* | | | 232,957 | |
| | 1,860 | | | Jazz Pharmaceuticals PLC* | | | 215,723 | |
| | 107,782 | | | Johnson & Johnson | | | 17,876,723 | |
| | 125,454 | | | Merck & Co., Inc. | | | 14,860,026 | |
| | 7,798 | | | Organon & Co. | | | 174,285 | |
| | 4,053 | | | Perrigo Co. PLC | | | 117,942 | |
| | 181,625 | | | Pfizer Inc. | | | 5,268,941 | |
| | 11,707 | | | Royalty Pharma PLC, Class A Shares | | | 339,854 | |
| | 37,356 | | | Viatris Inc. | | | 451,261 | |
| | 59,035 | | | Zoetis Inc., Class A Shares | | | 10,832,332 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 84,236,415 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 331,347,537 | |
| | | | | | | | |
|
| INDUSTRIALS — 10.2% | |
|
| Aerospace & Defense — 2.9% | |
| | 2,514 | | | Axon Enterprise Inc.* | | | 917,535 | |
| | 18,620 | | | Boeing Co. (The)* | | | 3,235,039 | |
| | 2,910 | | | BWX Technologies Inc. | | | 299,730 | |
| | 1,200 | | | Curtiss-Wright Corp. | | | 379,032 | |
| | 8,855 | | | General Dynamics Corp. | | | 2,650,833 | |
| | 34,872 | | | General Electric Co. | | | 6,089,349 | |
| | 1,421 | | | HEICO Corp. | | | 364,572 | |
| | 32,935 | | | HEICO Corp., Class A Shares | | | 6,589,964 | |
| | 2,664 | | | Hexcel Corp. | | | 168,604 | |
| | 13,043 | | | Howmet Aerospace Inc. | | | 1,260,736 | |
| | 1,237 | | | Huntington Ingalls Industries Inc. | | | 349,786 | |
| | 5,872 | | | L3Harris Technologies Inc. | | | 1,389,726 | |
| | 6,839 | | | Lockheed Martin Corp. | | | 3,885,236 | |
See Notes to Financial Statements.
12
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.2% — (continued) | |
|
| Aerospace & Defense — 2.9% — (continued) | |
| | 10,037 | | | Northrop Grumman Corp. | | $ | 5,251,459 | |
| | 136,217 | | | RTX Corp. | | | 16,801,005 | |
| | 3,794 | | | Spirit AeroSystems Holdings Inc., Class A Shares* | | | 133,587 | |
| | 62,693 | | | Textron Inc. | | | 5,717,602 | |
| | 14,149 | | | TransDigm Group Inc. | | | 19,429,548 | |
| | 1,879 | | | Woodward Inc. | | | 313,135 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 75,226,478 | |
| | | | | | | | |
|
| Air Freight & Logistics — 0.2% | |
| | 3,630 | | | CH Robinson Worldwide Inc. | | | 375,741 | |
| | 4,492 | | | Expeditors International of Washington Inc. | | | 554,358 | |
| | 7,412 | | | FedEx Corp. | | | 2,214,483 | |
| | 3,689 | | | GXO Logistics Inc.* | | | 184,634 | |
| | 23,459 | | | United Parcel Service Inc., Class B Shares | | | 3,015,655 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 6,344,871 | |
| | | | | | | | |
|
| Building Products — 0.9% | |
| | 2,109 | | | AAON Inc. | | | 201,431 | |
| | 2,103 | | | Advanced Drainage Systems Inc. | | | 329,666 | |
| | 2,763 | | | Allegion PLC | | | 383,615 | |
| | 3,820 | | | AO Smith Corp. | | | 319,810 | |
| | 1,329 | | | Armstrong World Industries Inc. | | | 168,464 | |
| | 4,532 | | | AZEK Co., Inc. (The), Class A Shares* | | | 193,199 | |
| | 3,764 | | | Builders FirstSource Inc.* | | | 654,936 | |
| | 1,502 | | | Carlisle Cos., Inc. | | | 636,548 | |
| | 111,499 | | | Carrier Global Corp. | | | 8,114,897 | |
| | 4,021 | | | Fortune Brands Innovations Inc. | | | 319,308 | |
| | 4,481 | | | Hayward Holdings Inc.* | | | 66,498 | |
| | 21,115 | | | Johnson Controls International PLC | | | 1,538,228 | |
| | 992 | | | Lennox International Inc. | | | 585,468 | |
| | 6,977 | | | Masco Corp. | | | 555,090 | |
| | 33,249 | | | Owens Corning | | | 5,610,104 | |
| | 1,309 | | | Simpson Manufacturing Co., Inc. | | | 239,626 | |
| | 7,420 | | | Trane Technologies PLC | | | 2,683,517 | |
| | 3,443 | | | Trex Co., Inc.* | | | 219,457 | |
| | | | | | | | |
| | | | Total Building Products | | | 22,819,862 | |
| | | | | | | | |
|
| Commercial Services & Supplies — 0.7% | |
| | 2,847 | | | Cintas Corp. | | | 2,292,177 | |
| | 1,591 | | | Clean Harbors Inc.* | | | 391,227 | |
| | 166,811 | | | Copart Inc.* | | | 8,834,311 | |
| | 1,129 | | | MSA Safety Inc. | | | 206,189 | |
| | 5,662 | | | RB Global Inc. | | | 487,668 | |
| | 6,411 | | | Republic Services Inc., Class A Shares | | | 1,334,834 | |
| | 10,428 | | | Rollins Inc. | | | 523,277 | |
| | 2,782 | | | Stericycle Inc.* | | | 164,861 | |
| | 1,664 | | | Tetra Tech Inc. | | | 395,599 | |
| | 7,628 | | | Veralto Corp. | | | 857,616 | |
| | 3,870 | | | Vestis Corp. | | | 54,451 | |
| | 12,844 | | | Waste Management Inc. | | | 2,723,442 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 18,265,652 | |
| | | | | | | | |
|
| Construction & Engineering — 0.4% | |
| | 4,253 | | | AECOM | | | 425,896 | |
| | 7,023 | | | API Group Corp.* | | | 249,668 | |
| | 1,085 | | | Comfort Systems USA Inc. | | | 383,569 | |
See Notes to Financial Statements.
13
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.2% — (continued) | |
|
| Construction & Engineering — 0.4% — (continued) | |
| | 1,439 | | | EMCOR Group Inc. | | $ | 565,613 | |
| | 1,945 | | | MasTec Inc.* | | | 220,038 | |
| | 6,551 | | | MDU Resources Group Inc. | | | 168,295 | |
| | 30,925 | | | Quanta Services Inc. | | | 8,508,395 | |
| | 615 | | | Valmont Industries Inc. | | | 175,743 | |
| | 5,617 | | | WillScot Holdings Corp.* | | | 216,479 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 10,913,696 | |
| | | | | | | | |
|
| | Electrical Equipment — 0.6% | |
| | 941 | | | Acuity Brands Inc. | | | 239,673 | |
| | 7,883 | | | AMETEK Inc. | | | 1,348,387 | |
| | 24,138 | | | Eaton Corp. PLC | | | 7,408,676 | |
| | 18,899 | | | Emerson Electric Co. | | | 1,991,766 | |
| | 9,079 | | | GE Vernova Inc.* | | | 1,824,879 | |
| | 1,831 | | | Generac Holdings Inc.* | | | 286,606 | |
| | 1,662 | | | Hubbell Inc., Class B Shares | | | 664,667 | |
| | 5,136 | | | nVent Electric PLC | | | 349,043 | |
| | 2,093 | | | Regal Rexnord Corp. | | | 351,226 | |
| | 3,670 | | | Rockwell Automation Inc. | | | 998,350 | |
| | 4,772 | | | Sensata Technologies Holding PLC | | | 183,961 | |
| | 12,250 | | | Vertiv Holdings Co., Class A Shares | | | 1,017,117 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 16,664,351 | |
| | | | | | | | |
|
| Ground Transportation — 1.1% | |
| | 546 | | | Avis Budget Group Inc. | | | 44,767 | |
| | 224,209 | | | CSX Corp. | | | 7,683,642 | |
| | 2,567 | | | JB Hunt Transport Services Inc. | | | 444,604 | |
| | 4,710 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 246,710 | |
| | 1,109 | | | Landstar System Inc. | | | 202,459 | |
| | 10,843 | | | Lyft Inc., Class A Shares* | | | 126,538 | |
| | 7,055 | | | Norfolk Southern Corp. | | | 1,807,209 | |
| | 6,290 | | | Old Dominion Freight Line Inc. | | | 1,212,712 | |
| | 1,313 | | | Ryder System Inc. | | | 190,700 | |
| | 832 | | | Saia Inc.* | | | 312,691 | |
| | 1,934 | | | Schneider National Inc., Class B Shares | | | 52,431 | |
| | 117,404 | | | Uber Technologies Inc.* | | | 8,585,754 | |
| | 219 | | | U-Haul Holding Co.* | | | 15,553 | |
| | 3,106 | | | U-Haul Holding Co.-Non Voting | | | 212,295 | |
| | 30,343 | | | Union Pacific Corp. | | | 7,770,539 | |
| | 3,566 | | | XPO Inc.* | | | 408,735 | |
| | | | | | | | |
| | | | Total Ground Transportation | | | 29,317,339 | |
| | | | | | | | |
|
| Industrial Conglomerates — 0.5% | |
| | 18,029 | | | 3M Co. | | | 2,428,326 | |
| | 55,157 | | | Honeywell International Inc. | | | 11,467,692 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 13,896,018 | |
| | | | | | | | |
|
| Machinery — 1.7% | |
| | 1,900 | | | AGCO Corp. | | | 172,976 | |
| | 2,681 | | | Allison Transmission Holdings Inc. | | | 248,663 | |
| | 33,089 | | | Caterpillar Inc. | | | 11,782,993 | |
| | 30,818 | | | CNH Industrial NV | | | 318,658 | |
| | 1,487 | | | Crane Co. | | | 235,511 | |
| | 4,632 | | | Cummins Inc. | | | 1,449,121 | |
| | 8,198 | | | Deere & Co. | | | 3,162,297 | |
| | 3,841 | | | Donaldson Co., Inc. | | | 279,356 | |
| | 4,329 | | | Dover Corp. | | | 805,324 | |
See Notes to Financial Statements.
14
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.2% — (continued) | |
|
| Machinery — 1.7% — (continued) | |
| | 1,759 | | | Esab Corp. | | $ | 184,642 | |
| | 4,089 | | | Flowserve Corp. | | | 203,959 | |
| | 10,976 | | | Fortive Corp. | | | 816,614 | |
| | 5,311 | | | Gates Industrial Corp. PLC* | | | 96,448 | |
| | 5,211 | | | Graco Inc. | | | 434,337 | |
| | 2,346 | | | IDEX Corp. | | | 484,402 | |
| | 9,649 | | | Illinois Tool Works Inc. | | | 2,442,934 | |
| | 12,562 | | | Ingersoll Rand Inc. | | | 1,148,795 | |
| | 2,599 | | | ITT Inc. | | | 361,833 | |
| | 1,755 | | | Lincoln Electric Holdings Inc. | | | 339,786 | |
| | 1,608 | | | Middleby Corp. (The)* | | | 226,117 | |
| | 1,784 | | | Nordson Corp. | | | 457,703 | |
| | 1,966 | | | Oshkosh Corp. | | | 212,151 | |
| | 13,790 | | | Otis Worldwide Corp. | | | 1,305,775 | |
| | 17,205 | | | PACCAR Inc. | | | 1,654,777 | |
| | 18,540 | | | Parker-Hannifin Corp. | | | 11,127,708 | |
| | 5,118 | | | Pentair PLC | | | 453,915 | |
| | 863 | | | RBC Bearings Inc.* | | | 257,045 | |
| | 1,620 | | | Snap-on Inc. | | | 459,659 | |
| | 4,780 | | | Stanley Black & Decker Inc. | | | 489,281 | |
| | 1,836 | | | Timken Co. (The) | | | 155,197 | |
| | 3,315 | | | Toro Co. (The) | | | 306,969 | |
| | 5,534 | | | Westinghouse Air Brake Technologies Corp. | | | 938,400 | |
| | 8,267 | | | Xylem Inc. | | | 1,136,960 | |
| | | | | | | | |
| | | | Total Machinery | | | 44,150,306 | |
| | | | | | | | |
|
| Marine Transportation — 0.0%@ | |
| | 1,857 | | | Kirby Corp.* | | | 222,691 | |
| | | | | | | | |
|
| Passenger Airlines — 0.3% | |
| | 3,724 | | | Alaska Air Group Inc.* | | | 134,474 | |
| | 20,810 | | | American Airlines Group Inc.* | | | 221,002 | |
| | 126,897 | | | Delta Air Lines Inc. | | | 5,391,854 | |
| | 18,448 | | | Southwest Airlines Co. | | | 533,516 | |
| | 10,137 | | | United Airlines Holdings Inc.* | | | 446,433 | |
| | | | | | | | |
| | | | Total Passenger Airlines | | | 6,727,279 | |
| | | | | | | | |
|
| Professional Services — 0.5% | |
| | 13,300 | | | Automatic Data Processing Inc. | | | 3,669,603 | |
| | 3,978 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 631,627 | |
| | 3,637 | | | Broadridge Financial Solutions Inc. | | | 774,172 | |
| | 678 | | | CACI International Inc., Class A Shares* | | | 330,945 | |
| | 14,554 | | | Clarivate PLC* | | | 99,840 | |
| | 1,249 | | | Concentrix Corp. | | | 93,962 | |
| | 4,789 | | | Dayforce Inc.* | | | 273,787 | |
| | 9,284 | | | Dun & Bradstreet Holdings Inc. | | | 111,408 | |
| | 4,197 | | | Equifax Inc. | | | 1,289,025 | |
| | 1,021 | | | FTI Consulting Inc.* | | | 233,105 | |
| | 5,315 | | | Genpact Ltd. | | | 208,507 | |
| | 3,904 | | | Jacobs Solutions Inc. | | | 589,036 | |
| | 4,043 | | | KBR Inc. | | | 280,423 | |
| | 4,236 | | | Leidos Holdings Inc. | | | 671,448 | |
| | 1,598 | | | ManpowerGroup Inc. | | | 118,124 | |
| | 1,413 | | | Parsons Corp.* | | | 134,885 | |
| | 10,003 | | | Paychex Inc. | | | 1,312,394 | |
| | 1,654 | | | Paycom Software Inc. | | | 269,238 | |
| | 1,976 | | | Paycor HCM Inc.* | | | 27,980 | |
See Notes to Financial Statements.
15
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.2% — (continued) | |
|
| Professional Services — 0.5% — (continued) | |
| | 1,291 | | | Paylocity Holding Corp.* | | $ | 208,367 | |
| | 3,185 | | | Robert Half Inc. | | | 199,604 | |
| | 1,556 | | | Science Applications International Corp. | | | 203,198 | |
| | 6,768 | | | SS&C Technologies Holdings Inc. | | | 508,209 | |
| | 6,009 | | | TransUnion | | | 581,731 | |
| | 4,429 | | | Verisk Analytics Inc., Class A Shares | | | 1,208,320 | |
| | | | | | | | |
| | | | Total Professional Services | | | 14,028,938 | |
| | | | | | | | |
|
| Trading Companies & Distributors — 0.4% | |
| | 3,106 | | | Air Lease Corp., Class A Shares | | | 143,715 | |
| | 5,543 | | | Core & Main Inc., Class A Shares* | | | 266,230 | |
| | 19,543 | | | Fastenal Co. | | | 1,334,396 | |
| | 6,339 | | | Ferguson Enterprises Inc. | | | 1,303,996 | |
| | 1,373 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 112,916 | |
| | 1,355 | | | SiteOne Landscape Supply Inc.* | | | 192,220 | |
| | 2,224 | | | United Rentals Inc. | | | 1,648,562 | |
| | 1,301 | | | Watsco Inc. | | | 618,521 | |
| | 1,351 | | | WESCO International Inc. | | | 223,428 | |
| | 4,804 | | | WW Grainger Inc. | | | 4,731,556 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 10,575,540 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 269,153,021 | |
| | | | | | | | |
|
| INFORMATION TECHNOLOGY — 25.7% | |
|
| Communications Equipment — 1.0% | |
| | 8,250 | | | Arista Networks Inc.* | | | 2,915,385 | |
| | 4,325 | | | Ciena Corp.* | | | 249,336 | |
| | 251,955 | | | Cisco Systems Inc. | | | 12,733,806 | |
| | 1,865 | | | F5 Inc.* | | | 378,875 | |
| | 9,984 | | | Juniper Networks Inc. | | | 388,178 | |
| | 1,935 | | | Lumentum Holdings Inc.* | | | 111,475 | |
| | 22,238 | | | Motorola Solutions Inc. | | | 9,830,085 | |
| | 142 | | | Ubiquiti Inc. | | | 27,480 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 26,634,620 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.4% | |
| | 53,426 | | | Amphenol Corp., Class A Shares | | | 3,603,584 | |
| | 1,644 | | | Arrow Electronics Inc.* | | | 222,072 | |
| | 2,736 | | | Avnet Inc. | | | 150,972 | |
| | 4,195 | | | CDW Corp. | | | 946,560 | |
| | 5,304 | | | Cognex Corp. | | | 214,176 | |
| | 4,002 | | | Coherent Corp.* | | | 311,956 | |
| | 23,608 | | | Corning Inc. | | | 987,995 | |
| | 1,535 | | | Crane NXT Co. | | | 90,181 | |
| | 1,005 | | | IPG Photonics Corp.* | | | 68,712 | |
| | 3,877 | | | Jabil Inc. | | | 423,679 | |
| | 5,412 | | | Keysight Technologies Inc.* | | | 834,097 | |
| | 764 | | | Littelfuse Inc. | | | 207,961 | |
| | 3,182 | | | TD SYNNEX Corp. | | | 386,358 | |
| | 1,446 | | | Teledyne Technologies Inc.* | | | 625,829 | |
| | 7,679 | | | Trimble Inc.* | | | 435,322 | |
| | 4,811 | | | Vontier Corp. | | | 168,529 | |
| | 1,588 | | | Zebra Technologies Corp., Class A Shares* | | | 548,463 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 10,226,446 | |
| | | | | | | | |
|
| IT Services — 1.0% | |
| | 29,401 | | | Accenture PLC, Class A Shares | | | 10,053,672 | |
| | 4,651 | | | Akamai Technologies Inc.* | | | 473,658 | |
See Notes to Financial Statements.
16
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 25.7% — (continued) | |
|
| IT Services — 1.0% — (continued) | |
| | 3,652 | | | Amdocs Ltd. | | $ | 317,614 | |
| | 9,122 | | | Cloudflare Inc., Class A Shares* | | | 749,281 | |
| | 15,581 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 1,211,734 | |
| | 6,133 | | | DXC Technology Co.* | | | 126,769 | |
| | 1,756 | | | EPAM Systems Inc.* | | | 352,535 | |
| | 7,071 | | | Gartner Inc.* | | | 3,478,649 | |
| | 1,246 | | | Globant SA* | | | 251,991 | |
| | 4,370 | | | GoDaddy Inc., Class A Shares* | | | 731,582 | |
| | 29,388 | | | International Business Machines Corp. | | | 5,940,196 | |
| | 7,016 | | | Kyndryl Holdings Inc.* | | | 166,209 | |
| | 2,101 | | | MongoDB Inc., Class A Shares* | | | 610,950 | |
| | 4,765 | | | Okta Inc., Class A Shares* | | | 375,148 | |
| | 9,761 | | | Snowflake Inc., Class A Shares* | | | 1,114,999 | |
| | 5,348 | | | Twilio Inc., Class A Shares* | | | 335,641 | |
| | 2,755 | | | VeriSign Inc.* | | | 506,645 | |
| | | | | | | | |
| | | | Total IT Services | | | 26,797,273 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 7.8% | |
| | 51,569 | | | Advanced Micro Devices Inc.* | | | 7,661,091 | |
| | 2,260 | | | Allegro MicroSystems Inc.* | | | 55,438 | |
| | 3,481 | | | Amkor Technology Inc. | | | 114,525 | |
| | 16,020 | | | Analog Devices Inc. | | | 3,762,137 | |
| | 26,652 | | | Applied Materials Inc. | | | 5,257,373 | |
| | 3,870 | | | ASML Holding NV, Class REG Shares, ADR | | | 3,497,977 | |
| | 3,086 | | | Astera Labs Inc.*(b) | | | 132,883 | |
| | 177,231 | | | Broadcom Inc. | | | 28,856,751 | |
| | 1,641 | | | Cirrus Logic Inc.* | | | 239,077 | |
| | 4,130 | | | Enphase Energy Inc.* | | | 499,895 | |
| | 4,634 | | | Entegris Inc. | | | 536,942 | |
| | 3,303 | | | First Solar Inc.* | | | 751,003 | |
| | 2,872 | | | GLOBALFOUNDRIES Inc.* | | | 134,065 | |
| | 137,164 | | | Intel Corp. | | | 3,023,094 | |
| | 4,353 | | | KLA Corp. | | | 3,566,979 | |
| | 4,184 | | | Lam Research Corp. | | | 3,435,106 | |
| | 4,335 | | | Lattice Semiconductor Corp.* | | | 205,306 | |
| | 1,723 | | | MACOM Technology Solutions Holdings Inc.* | | | 188,203 | |
| | 27,445 | | | Marvell Technology Inc. | | | 2,092,407 | |
| | 16,491 | | | Microchip Technology Inc. | | | 1,354,901 | |
| | 84,292 | | | Micron Technology Inc. | | | 8,112,262 | |
| | 2,122 | | | MKS Instruments Inc. | | | 253,006 | |
| | 1,562 | | | Monolithic Power Systems Inc. | | | 1,459,970 | |
| | 931,184 | | | NVIDIA Corp. | | | 111,155,434 | |
| | 46,851 | | | ON Semiconductor Corp.* | | | 3,648,287 | |
| | 1,512 | | | Onto Innovation Inc.* | | | 322,389 | |
| | 3,094 | | | Qorvo Inc.* | | | 358,564 | |
| | 35,774 | | | QUALCOMM Inc. | | | 6,271,182 | |
| | 4,942 | | | Skyworks Solutions Inc. | | | 541,594 | |
| | 18,400 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 3,159,280 | |
| | 4,783 | | | Teradyne Inc. | | | 653,980 | |
| | 29,158 | | | Texas Instruments Inc. | | | 6,249,726 | |
| | 1,421 | | | Universal Display Corp. | | | 275,276 | |
| | 3,902 | | | Wolfspeed Inc.* | | | 38,044 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 207,864,147 | |
| | | | | | | | |
See Notes to Financial Statements.
17
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 25.7% — (continued) | |
|
| Software — 10.9% | |
| | 45,579 | | | Adobe Inc.* | | $ | 26,181,033 | |
| | 2,694 | | | ANSYS Inc.* | | | 865,905 | |
| | 679 | | | Appfolio Inc., Class A Shares* | | | 157,521 | |
| | 8,101 | | | AppLovin Corp., Class A Shares* | | | 752,340 | |
| | 825 | | | Aspen Technology Inc.* | | | 193,166 | |
| | 4,812 | | | Atlassian Corp., Class A Shares* | | | 796,867 | |
| | 7,164 | | | Autodesk Inc.* | | | 1,851,178 | |
| | 4,327 | | | Bentley Systems Inc., Class B Shares | | | 222,711 | |
| | 3,182 | | | BILL Holdings Inc.* | | | 173,610 | |
| | 33,308 | | | Cadence Design Systems Inc.* | | | 8,957,520 | |
| | 12,061 | | | CCC Intelligent Solutions Holdings Inc.* | | | 130,018 | |
| | 11,630 | | | Confluent Inc., Class A Shares* | | | 246,789 | |
| | 596 | | | Constellation Software Inc. | | | 1,937,000 | |
| | 7,085 | | | Crowdstrike Holdings Inc., Class A Shares* | | | 1,964,529 | |
| | 9,707 | | | Datadog Inc., Class A Shares* | | | 1,128,536 | |
| | 6,357 | | | DocuSign Inc., Class A Shares* | | | 376,398 | |
| | 1,764 | | | Dolby Laboratories Inc., Class A Shares | | | 125,879 | |
| | 4,262 | | | DoubleVerify Holdings Inc.* | | | 83,961 | |
| | 8,161 | | | Dropbox Inc., Class A Shares* | | | 205,168 | |
| | 8,082 | | | Dynatrace Inc.* | | | 409,111 | |
| | 2,491 | | | Elastic NV* | | | 189,789 | |
| | 752 | | | Fair Isaac Corp.* | | | 1,301,163 | |
| | 2,137 | | | Five9 Inc.* | | | 68,918 | |
| | 19,970 | | | Fortinet Inc.* | | | 1,531,899 | |
| | 17,242 | | | Gen Digital Inc. | | | 456,223 | |
| | 5,620 | | | Gitlab Inc., Class A Shares* | | | 266,388 | |
| | 2,588 | | | Guidewire Software Inc.* | | | 385,017 | |
| | 3,206 | | | HashiCorp Inc., Class A Shares* | | | 108,812 | |
| | 1,687 | | | HubSpot Inc.* | | | 841,931 | |
| | 1,263 | | | Informatica Inc., Class A Shares* | | | 31,461 | |
| | 34,620 | | | Intuit Inc. | | | 21,819,601 | |
| | 1,921 | | | Manhattan Associates Inc.* | | | 507,970 | |
| | 364,820 | | | Microsoft Corp. | | | 152,181,015 | |
| | 4,830 | | | MicroStrategy Inc., Class A Shares* | | | 639,589 | |
| | 2,088 | | | nCino Inc.* | | | 62,556 | |
| | 7,575 | | | Nutanix Inc., Class A Shares* | | | 478,664 | |
| | 81,062 | | | Oracle Corp. | | | 11,453,250 | |
| | 64,428 | | | Palantir Technologies Inc., Class A Shares* | | | 2,028,193 | |
| | 23,254 | | | Palo Alto Networks Inc.* | | | 8,434,691 | |
| | 1,187 | | | Pegasystems Inc. | | | 84,135 | |
| | 4,538 | | | Procore Technologies Inc.* | | | 268,967 | |
| | 4,257 | | | PTC Inc.* | | | 762,386 | |
| | 2,788 | | | RingCentral Inc., Class A Shares* | | | 92,924 | |
| | 19,603 | | | Roper Technologies Inc. | | | 10,868,099 | |
| | 45,018 | | | Salesforce Inc. | | | 11,385,052 | |
| | 7,583 | | | SentinelOne Inc., Class A Shares* | | | 178,655 | |
| | 6,578 | | | ServiceNow Inc.* | | | 5,624,190 | |
| | 4,140 | | | Smartsheet Inc., Class A Shares* | | | 202,032 | |
| | 4,942 | | | Synopsys Inc.* | | | 2,567,764 | |
| | 3,073 | | | Teradata Corp.* | | | 86,782 | |
| | 1,292 | | | Tyler Technologies Inc.* | | | 759,528 | |
| | 11,427 | | | UiPath Inc., Class A Shares* | | | 147,180 | |
| | 8,745 | | | Unity Software Inc.* | | | 143,156 | |
| | 18,898 | | | Workday Inc., Class A Shares* | | | 4,973,765 | |
| | 8,002 | | | Zoom Video Communications Inc., Class A Shares* | | | 552,778 | |
| | 3,369 | | | Zscaler Inc.* | | | 673,733 | |
| | | | | | | | |
| | | | Total Software | | | 288,917,496 | |
| | | | | | | | |
See Notes to Financial Statements.
18
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 25.7% — (continued) | |
|
| Technology Hardware, Storage & Peripherals — 4.6% | |
| | 504,887 | | | Apple Inc. | | $ | 115,619,123 | |
| | 7,652 | | | Dell Technologies Inc., Class C Shares | | | 884,112 | |
| | 40,271 | | | Hewlett Packard Enterprise Co. | | | 780,049 | |
| | 30,209 | | | HP Inc. | | | 1,092,962 | |
| | 6,393 | | | NetApp Inc. | | | 771,763 | |
| | 8,950 | | | Pure Storage Inc., Class A Shares* | | | 459,045 | |
| | 1,530 | | | Super Micro Computer Inc.*(b) | | | 669,681 | |
| | 10,064 | | | Western Digital Corp.* | | | 660,098 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 120,936,833 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 681,376,815 | |
| | | | | | | | |
|
| MATERIALS — 2.8% | |
|
| Chemicals — 1.7% | |
| | 24,033 | | | Air Products & Chemicals Inc. | | | 6,701,602 | |
| | 3,644 | | | Albemarle Corp. | | | 328,871 | |
| | 1,606 | | | Ashland Inc. | | | 143,737 | |
| | 6,747 | | | Axalta Coating Systems Ltd.* | | | 246,265 | |
| | 4,020 | | | Celanese Corp., Class A Shares | | | 525,012 | |
| | 5,973 | | | CF Industries Holdings Inc. | | | 496,297 | |
| | 4,492 | | | Chemours Co. (The) | | | 87,324 | |
| | 21,900 | | | Corteva Inc. | | | 1,254,870 | |
| | 21,971 | | | Dow Inc. | | | 1,177,206 | |
| | 69,117 | | | DuPont de Nemours Inc. | | | 5,823,107 | |
| | 3,715 | | | Eastman Chemical Co. | | | 380,305 | |
| | 8,212 | | | Ecolab Inc. | | | 2,079,114 | |
| | 6,768 | | | Element Solutions Inc. | | | 180,976 | |
| | 3,804 | | | FMC Corp. | | | 245,662 | |
| | 5,197 | | | Huntsman Corp. | | | 114,594 | |
| | 7,925 | | | International Flavors & Fragrances Inc. | | | 824,121 | |
| | 26,680 | | | Linde PLC | | | 12,759,710 | |
| | 8,030 | | | LyondellBasell Industries NV, Class A Shares | | | 792,561 | |
| | 10,287 | | | Mosaic Co. (The) | | | 293,900 | |
| | 204 | | | NewMarket Corp. | | | 117,049 | |
| | 3,709 | | | Olin Corp. | | | 161,972 | |
| | 7,286 | | | PPG Industries Inc. | | | 945,213 | |
| | 3,955 | | | RPM International Inc. | | | 459,769 | |
| | 1,413 | | | Scotts Miracle-Gro Co. (The) | | | 100,295 | |
| | 23,439 | | | Sherwin-Williams Co. (The) | | | 8,657,663 | |
| | 997 | | | Westlake Corp. | | | 145,004 | |
| | | | | | | | |
| | | | Total Chemicals | | | 45,042,199 | |
| | | | | | | | |
|
| Construction Materials — 0.4% | |
| | 22,617 | | | CRH PLC | | | 2,052,945 | |
| | 1,091 | | | Eagle Materials Inc. | | | 281,205 | |
| | 10,451 | | | Martin Marietta Materials Inc. | | | 5,582,506 | |
| | 12,638 | | | Vulcan Materials Co. | | | 3,098,964 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 11,015,620 | |
| | | | | | | | |
|
| Containers & Packaging — 0.2% | |
| | 44,746 | | | Amcor PLC | | | 511,894 | |
| | 2,065 | | | AptarGroup Inc. | | | 316,337 | |
| | 2,505 | | | Avery Dennison Corp. | | | 555,734 | |
| | 9,561 | | | Ball Corp. | | | 610,088 | |
| | 3,729 | | | Berry Global Group Inc. | | | 256,779 | |
| | 4,736 | | | Crown Holdings Inc. | | | 428,182 | |
| | 9,683 | | | Graphic Packaging Holding Co. | | | 289,812 | |
| | 10,746 | | | International Paper Co. | | | 520,321 | |
| | 2,745 | | | Packaging Corp. of America | | | 575,187 | |
| | 3,841 | | | Sealed Air Corp. | | | 134,243 | |
See Notes to Financial Statements.
19
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| MATERIALS — 2.8% — (continued) | |
|
| Containers & Packaging — 0.2% — (continued) | |
| | 2,654 | | | Silgan Holdings Inc. | | $ | 138,725 | |
| | 7,907 | | | Smurfit WestRock PLC | | | 374,950 | |
| | 3,127 | | | Sonoco Products Co. | | | 176,895 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 4,889,147 | |
| | | | | | | | |
|
| Metals & Mining — 0.5% | |
| | 7,735 | | | Alcoa Corp. | | | 248,294 | |
| | 3,810 | | | ATI Inc.* | | | 243,383 | |
| | 15,866 | | | Cleveland-Cliffs Inc.* | | | 207,210 | |
| | 151,758 | | | Freeport-McMoRan Inc. | | | 6,719,844 | |
| | 3,468 | | | MP Materials Corp.* | | | 44,737 | |
| | 38,205 | | | Newmont Corp. | | | 2,039,765 | |
| | 7,404 | | | Nucor Corp. | | | 1,124,742 | |
| | 1,772 | | | Reliance Inc. | | | 507,944 | |
| | 2,094 | | | Royal Gold Inc. | | | 293,516 | |
| | 2,602 | | | Southern Copper Corp. | | | 264,675 | |
| | 4,729 | | | Steel Dynamics Inc. | | | 565,163 | |
| | 7,062 | | | United States Steel Corp. | | | 267,720 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 12,526,993 | |
| | | | | | | | |
|
| Paper & Forest Products — 0.0%@ | |
| | 2,003 | | | Louisiana-Pacific Corp. | | | 194,391 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 73,668,350 | |
| | | | | | | | |
|
| REAL ESTATE — 2.9% | |
|
| Diversified REITs — 0.0%@ | |
| | 6,772 | | | WP Carey Inc. | | | 406,455 | |
| | | | | | | | |
|
| Health Care REITs — 0.2% | |
| | 5,383 | | | Alexandria Real Estate Equities Inc. | | | 643,645 | |
| | 12,028 | | | Healthcare Realty Trust Inc., Class A Shares | | | 214,098 | |
| | 21,973 | | | Healthpeak Properties Inc. | | | 489,558 | |
| | 18,784 | | | Medical Properties Trust Inc.(b) | | | 84,528 | |
| | 7,516 | | | Omega Healthcare Investors Inc. | | | 297,183 | |
| | 12,400 | | | Ventas Inc. | | | 770,164 | |
| | 19,326 | | | Welltower Inc. | | | 2,332,262 | |
| | | | | | | | |
| | | | Total Health Care REITs | | | 4,831,438 | |
| | | | | | | | |
|
| Hotel & Resort REITs — 0.0%@ | |
| | 21,828 | | | Host Hotels & Resorts Inc. | | | 386,356 | |
| | 6,032 | | | Park Hotels & Resorts Inc. | | | 92,169 | |
| | | | | | | | |
| | | | Total Hotel & Resort REITs | | | 478,525 | |
| | | | | | | | |
|
| Industrial REITs — 0.4% | |
| | 9,060 | | | Americold Realty Trust Inc. | | | 262,740 | |
| | 1,402 | | | EastGroup Properties Inc. | | | 261,333 | |
| | 4,086 | | | First Industrial Realty Trust Inc. | | | 231,799 | |
| | 70,024 | | | Prologis Inc. | | | 8,950,468 | |
| | 6,655 | | | Rexford Industrial Realty Inc. | | | 338,872 | |
| | 5,537 | | | STAG Industrial Inc. | | | 224,691 | |
| | | | | | | | |
| | | | Total Industrial REITs | | | 10,269,903 | |
| | | | | | | | |
|
| Office REITs — 0.0%@ | |
| | 4,961 | | | BXP Inc. | | | 373,166 | |
| | 4,694 | | | Cousins Properties Inc. | | | 133,826 | |
| | 3,477 | | | Highwoods Properties Inc. | | | 112,029 | |
| | 3,651 | | | Kilroy Realty Corp. | | | 132,422 | |
| | 5,407 | | | Vornado Realty Trust | | | 185,839 | |
| | | | | | | | |
| | | | Total Office REITs | | | 937,282 | |
| | | | | | | | |
|
| Real Estate Management & Development — 0.4% | |
| | 9,429 | | | CBRE Group Inc., Class A Shares* | | | 1,085,655 | |
See Notes to Financial Statements.
20
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| REAL ESTATE — 2.9% — (continued) | |
|
| Real Estate Management & Development — 0.4% — (continued) | |
| | 99,295 | | | CoStar Group Inc.* | | $ | 7,675,504 | |
| | 1,100 | | | Howard Hughes Holdings Inc.* | | | 82,742 | |
| | 1,499 | | | Jones Lang LaSalle Inc.* | | | 382,590 | |
| | 122 | | | Seaport Entertainment Group Inc.* | | | 3,755 | |
| | 1,643 | | | Zillow Group Inc., Class A Shares* | | | 87,785 | |
| | 4,742 | | | Zillow Group Inc., Class C Shares* | | | 262,233 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 9,580,264 | |
| | | | | | | | |
|
| Residential REITs — 0.3% | |
| | 10,413 | | | American Homes 4 Rent, Class A Shares | | | 414,125 | |
| | 4,399 | | | AvalonBay Communities Inc. | | | 992,986 | |
| | 3,257 | | | Camden Property Trust | | | 407,777 | |
| | 44,404 | | | Equity LifeStyle Properties Inc. | | | 3,228,615 | |
| | 13,269 | | | Equity Residential | | | 993,583 | |
| | 1,981 | | | Essex Property Trust Inc. | | | 597,846 | |
| | 18,969 | | | Invitation Homes Inc. | | | 698,818 | |
| | 3,603 | | | Mid-America Apartment Communities Inc. | | | 585,019 | |
| | 3,818 | | | Sun Communities Inc. | | | 516,346 | |
| | 10,234 | | | UDR Inc. | | | 455,515 | |
| | | | | | | | |
| | | | Total Residential REITs | | | 8,890,630 | |
| | | | | | | | |
|
| Retail REITs — 0.2% | |
| | 3,153 | | | Agree Realty Corp. | | | 230,201 | |
| | 9,250 | | | Brixmor Property Group Inc. | | | 253,357 | |
| | 2,583 | | | Federal Realty Investment Trust | | | 297,045 | |
| | 20,484 | | | Kimco Realty Corp. | | | 476,458 | |
| | 5,516 | | | NNN REIT Inc. | | | 259,197 | |
| | 27,849 | | | Realty Income Corp. | | | 1,729,701 | |
| | 5,671 | | | Regency Centers Corp. | | | 412,225 | |
| | 10,073 | | | Simon Property Group Inc. | | | 1,685,717 | |
| | | | | | | | |
| | | | Total Retail REITs | | | 5,343,901 | |
| | | | | | | | |
|
| Specialized REITs — 1.4% | |
| | 58,839 | | | American Tower Corp. | | | 13,183,466 | |
| | 13,921 | | | Crown Castle Inc. | | | 1,559,430 | |
| | 7,066 | | | CubeSmart | | | 366,231 | |
| | 10,516 | | | Digital Realty Trust Inc. | | | 1,594,331 | |
| | 2,452 | | | EPR Properties | | | 116,396 | |
| | 7,279 | | | Equinix Inc. | | | 6,073,306 | |
| | 6,491 | | | Extra Space Storage Inc. | | | 1,148,907 | |
| | 8,015 | | | Gaming and Leisure Properties Inc. | | | 416,940 | |
| | 8,987 | | | Iron Mountain Inc. | | | 1,017,868 | |
| | 2,738 | | | Lamar Advertising Co., Class A Shares | | | 344,386 | |
| | 2,458 | | | National Storage Affiliates Trust | | | 114,887 | |
| | 21,133 | | | Public Storage | | | 7,263,835 | |
| | 4,339 | | | Rayonier Inc. | | | 133,685 | |
| | 3,333 | | | SBA Communications Corp., Class A Shares | | | 755,458 | |
| | 35,899 | | | VICI Properties Inc., Class A Shares | | | 1,201,898 | |
| | 22,732 | | | Weyerhaeuser Co. | | | 693,099 | |
| | | | | | | | |
| | | | Total Specialized REITs | | | 35,984,123 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 76,722,521 | |
| | | | | | | | |
|
| UTILITIES — 2.1% | |
|
| Electric Utilities — 1.6% | |
| | 7,952 | | | Alliant Energy Corp. | | | 463,363 | |
| | 17,599 | | | American Electric Power Co., Inc. | | | 1,764,828 | |
| | 2,031 | | | Avangrid Inc. | | | 72,486 | |
| | 10,359 | | | Constellation Energy Corp. | | | 2,037,615 | |
| | 93,869 | | | Duke Energy Corp. | | | 10,696,373 | |
| | 11,732 | | | Edison International | | | 1,021,036 | |
| | 6,570 | | | Entergy Corp. | | | 792,933 | |
See Notes to Financial Statements.
21
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| UTILITIES — 2.1% — (continued) | |
|
| Electric Utilities — 1.6% — (continued) | |
| | 6,964 | | | Evergy Inc. | | $ | 411,851 | |
| | 10,820 | | | Eversource Energy | | | 730,675 | |
| | 34,105 | | | Exelon Corp. | | | 1,299,060 | |
| | 19,746 | | | FirstEnergy Corp. | | | 867,244 | |
| | 1,494 | | | IDACORP Inc. | | | 152,254 | |
| | 170,528 | | | NextEra Energy Inc. | | | 13,729,209 | |
| | 6,960 | | | NRG Energy Inc. | | | 591,670 | |
| | 6,152 | | | OGE Energy Corp. | | | 243,373 | |
| | 69,826 | | | PG&E Corp. | | | 1,375,572 | |
| | 3,593 | | | Pinnacle West Capital Corp. | | | 314,459 | |
| | 22,909 | | | PPL Corp. | | | 731,026 | |
| | 35,262 | | | Southern Co. (The) | | | 3,046,637 | |
| | 17,104 | | | Xcel Energy Inc. | | | 1,047,278 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 41,388,942 | |
| | | | | | | | |
|
| Gas Utilities — 0.0%@ | |
| | 4,675 | | | Atmos Energy Corp. | | | 611,210 | |
| | 2,890 | | | National Fuel Gas Co. | | | 172,706 | |
| | 6,275 | | | UGI Corp. | | | 156,310 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 940,226 | |
| | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.1% | |
| | 27,704 | | | AES Corp. (The) | | | 474,569 | |
| | 4,186 | | | Brookfield Renewable Corp., Class A Shares | | | 119,259 | |
| | 845 | | | Clearway Energy Inc., Class A Shares | | | 22,705 | |
| | 2,355 | | | Clearway Energy Inc., Class C Shares | | | 68,201 | |
| | 10,641 | | | Vistra Corp. | | | 909,061 | |
| | | | | | | | |
| | | | Total Independent Power & Renewable Electricity Producers | | | 1,593,795 | |
| | | | | | | | |
|
| Multi-Utilities — 0.4% | |
| | 8,128 | | | Ameren Corp. | | | 670,641 | |
| | 19,588 | | | CenterPoint Energy Inc. | | | 534,752 | |
| | 9,027 | | | CMS Energy Corp. | | | 612,572 | |
| | 10,771 | | | Consolidated Edison Inc. | | | 1,093,903 | |
| | 25,953 | | | Dominion Energy Inc. | | | 1,450,773 | |
| | 6,395 | | | DTE Energy Co. | | | 799,503 | |
| | 16,703 | | | NiSource Inc. | | | 552,201 | |
| | 16,951 | | | Public Service Enterprise Group Inc. | | | 1,368,793 | |
| | 21,072 | | | Sempra | | | 1,731,697 | |
| | 9,795 | | | WEC Energy Group Inc. | | | 911,229 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 9,726,064 | |
| | | | | | | | |
|
| Water Utilities — 0.0%@ | |
| | 6,048 | | | American Water Works Co., Inc. | | | 865,590 | |
| | 7,621 | | | Essential Utilities Inc. | | | 297,143 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 1,162,733 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 54,811,760 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,440,160,595) | | | 2,593,530,544 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (d) — 1.9% | |
|
| | MONEY MARKET FUND — 0.0%@ | |
| $ | 1,082,000 | | | Invesco STIT — Government & Agency Portfolio, 5.106%, Institutional Class(e)
(Cost — $1,082,000) | | | 1,082,000 | |
| | | | | | | | |
See Notes to Financial Statements.
22
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| TIME DEPOSITS — 1.9% | |
| $ | 82 | | | ANZ National Bank – London, 4.680% due 9/3/24 | | $ | 82 | |
| | 37,240 | CAD | | BBH – New York, 3.330% due 9/3/24 | | | 27,631 | |
| | 3,486,091 | | | Canadian Imperial Bank of Commerce – Toronto, 4.680% due 9/3/24 | | | 3,486,091 | |
| | 18,991,981 | | | Citibank – New York, 4.680% due 9/3/24 | | | 18,991,981 | |
| | 20,863,471 | | | JPMorgan Chase & Co. – New York, 4.680% due 9/3/24 | | | 20,863,471 | |
| | 6,907,793 | | | Skandinaviska Enskilda Banken AB – Stockholm, 4.680% due 9/3/24 | | | 6,907,793 | |
| | 54,731 | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/3/24 | | | 54,731 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $50,331,780) | | | 50,331,780 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $51,413,780) | | | 51,413,780 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.9%
(Cost — $1,491,574,375) | | | 2,644,944,324 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.1% | | | 2,293,309 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 2,647,237,633 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (b) | All or a portion of this security is on loan (See Note 1). |
| (c) | Affiliated security (See Note 2). As of August 31, 2024, total cost and total value of affiliated security amounted to $1,489,240 and $3,852,841, respectively. |
| (d) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.9%. |
| (e) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. At August 31, 2024, the Fund held a Level 3 security with a value of $0, representing 0.0% of net assets. |
At August 31, 2024, for Large Cap Equity Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation | |
Large Cap Equity Fund | | $ | 1,507,641,981 | | | $ | 1,179,353,781 | | | $ | (41,479,031) | | | $ | 1,137,874,750 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
23
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | 25.8 | % |
Financials | | | 16.1 | |
Health Care | | | 12.5 | |
Industrials | | | 10.2 | |
Consumer Discretionary | | | 9.0 | |
Communication Services | | | 8.4 | |
Consumer Staples | | | 4.8 | |
Energy | | | 3.5 | |
Real Estate | | | 2.9 | |
Materials | | | 2.8 | |
Utilities | | | 2.1 | |
Short-Term Investments | | | 1.9 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2024, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index Futures | | | 70 | | | | 9/24 | | | $ | 19,300,760 | | | $ | 19,813,500 | | | $ | 512,740 | |
S&P MidCap 400 E-mini Index Futures | | | 5 | | | | 9/24 | | | | 1,488,991 | | | | 1,549,050 | | | | 60,059 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 572,799 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Large Cap Equity Fund had deposited cash of $1,042,984 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
See Notes to Financial Statements.
24
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMON STOCKS — 97.7% | |
|
| COMMUNICATION SERVICES — 2.6% | |
|
| Diversified Telecommunication Services — 0.3% | |
| | 478 | | | | | | | Anterix Inc.* | | $ | 16,955 | |
| | 4,326 | | | | | | | AST SpaceMobile Inc., Class A Shares*(a) | | | 125,627 | |
| | 382 | | | | | | | ATN International Inc. | | | 10,222 | |
| | 868 | | | | | | | Bandwidth Inc., Class A Shares* | | | 14,895 | |
| | 1,649 | | | | | | | Cogent Communications Holdings Inc. | | | 115,397 | |
| | 2,589 | | | | | | | Consolidated Communications Holdings Inc.* | | | 11,832 | |
| | 9,149 | | | | | | | Frontier Communications Parent Inc.* | | | 263,491 | |
| | 5,412 | | | | | | | GCI Liberty Inc.*# | | | — | |
| | 25,763 | | | | | | | Globalstar Inc.* | | | 32,204 | |
| | 600 | | | | | | | IDT Corp., Class B Shares | | | 23,016 | |
| | 4,497 | | | | | | | Iridium Communications Inc. | | | 116,022 | |
| | 5,902 | | | | | | | Liberty Global Ltd., Class A Shares* | | | 114,204 | |
| | 6,589 | | | | | | | Liberty Global Ltd., Class C Shares* | | | 129,606 | |
| | 2,029 | | | | | | | Liberty Latin America Ltd., Class A Shares* | | | 19,214 | |
| | 4,312 | | | | | | | Liberty Latin America Ltd., Class C Shares* | | | 40,835 | |
| | 35,530 | | | | | | | Lumen Technologies Inc.* | | | 186,532 | |
| | 1,859 | | | | | | | Shenandoah Telecommunications Co. | | | 28,108 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Telecommunication Services | | | 1,248,160 | |
| | | | | | | | | | | | |
|
| Entertainment — 0.4% | |
| | 9,648 | | | | | | | AMC Entertainment Holdings Inc., Class A Shares* | | | 46,503 | |
| | 409 | | | | | | | Atlanta Braves Holdings Inc., Class A Shares* | | | 18,650 | |
| | 1,800 | | | | | | | Atlanta Braves Holdings Inc., Class C Shares* | | | 77,184 | |
| | 4,030 | | | | | | | Cinemark Holdings Inc.* | | | 110,341 | |
| | 2,993 | | | | | | | Eventbrite Inc., Class A Shares* | | | 9,518 | |
| | 1,635 | | | | | | | IMAX Corp.* | | | 34,646 | |
| | 709 | | | | | | | Liberty Media Corp.-Liberty Live, Class A Shares* | | | 28,076 | |
| | 1,766 | | | | | | | Liberty Media Corp.-Liberty Live, Class C Shares* | | | 71,293 | |
| | 2,489 | | | | | | | Lions Gate Entertainment Corp., Class A Shares* | | | 19,340 | |
| | 97,702 | | | | | | | Lions Gate Entertainment Corp., Class B Shares* | | | 676,098 | |
| | 4,278 | | | | | | | LiveOne Inc.* | | | 7,444 | |
| | 1,361 | | | | | | | Madison Square Garden Entertainment Corp., Class A Shares* | | | 57,461 | |
| | 655 | | | | | | | Madison Square Garden Sports Corp., Class A Shares* | | | 136,928 | |
| | 809 | | | | | | | Marcus Corp. (The) | | | 11,447 | |
| | 3,300 | | | | | | | Playstudios Inc.* | | | 5,016 | |
| | 2,726 | | | | | | | Playtika Holding Corp. | | | 20,636 | |
| | 992 | | | | | | | Reservoir Media Inc.* | | | 7,698 | |
| | 4,735 | | | | | | | Roku Inc., Class A Shares* | | | 320,891 | |
| | 1,026 | | | | | | | Sphere Entertainment Co.* | | | 47,812 | |
| | 2,929 | | | | | | | TKO Group Holdings Inc., Class A Shares | | | 346,296 | |
| | 2,830 | | | | | | | Vivid Seats Inc., Class A Shares* | | | 13,160 | |
| | | | | | | | | | | | |
| | | | | | | | Total Entertainment | | | 2,066,438 | |
| | | | | | | | | | | | |
|
| Interactive Media & Services — 0.3% | |
| | 3,830 | | | | | | | Bumble Inc., Class A Shares* | | | 25,699 | |
| | 3,361 | | | | | | | Cargurus Inc., Class A Shares* | | | 97,402 | |
| | 2,278 | | | | | | | Cars.com Inc.* | | | 40,640 | |
| | 1,099 | | | | | | | EverQuote Inc., Class A Shares* | | | 27,145 | |
| | 10,279 | | | | | | | fuboTV Inc.* | | | 17,269 | |
| | 3,599 | | | | | | | Getty Images Holdings Inc.* | | | 13,676 | |
| | 799 | | | | | | | Grindr Inc.* | | | 9,612 | |
| | 2,809 | | | | | | | IAC Inc.* | | | 148,259 | |
| | 9,809 | | | | | | | Match Group Inc.* | | | 364,993 | |
See Notes to Financial Statements.
25
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 2.6% — (continued) | |
|
| Interactive Media & Services — 0.3% — (continued) | |
| | 847 | | | | | | | MediaAlpha Inc., Class A Shares* | | $ | 15,077 | |
| | 7,146 | | | | | | | Nextdoor Holdings Inc.* | | | 17,865 | |
| | 1,027 | | | | | | | Outbrain Inc.* | | | 5,238 | |
| | 1,999 | | | | | | | QuinStreet Inc.* | | | 38,201 | |
| | 947 | | | | | | | Shutterstock Inc. | | | 33,978 | |
| | 1,360 | | | | | | | System1 Inc.* | | | 1,686 | |
| | 3,855 | | | | | | | TripAdvisor Inc.* | | | 55,936 | |
| | 2,510 | | | | | | | TrueCar Inc.* | | | 7,530 | |
| | 2,148 | | | | | | | Trump Media & Technology Group Corp.*(a) | | | 41,886 | |
| | 5,844 | | | | | | | Vimeo Inc.* | | | 31,266 | |
| | 2,441 | | | | | | | Yelp Inc., Class A Shares* | | | 85,264 | |
| | 1,723 | | | | | | | Ziff Davis Inc.* | | | 84,203 | |
| | 2,653 | | | | | | | ZipRecruiter Inc., Class A Shares* | | | 25,336 | |
| | 11,580 | | | | | | | ZoomInfo Technologies Inc., Class A Shares* | | | 114,526 | |
| | | | | | | | | | | | |
| | | | | | | | Total Interactive Media & Services | | | 1,302,687 | |
| | | | | | | | | | | | |
|
| Media — 1.6% | |
| | 4,806 | | | | | | | Advantage Solutions Inc.* | | | 18,599 | |
| | 1,217 | | | | | | | AMC Networks Inc., Class A Shares* | | | 11,987 | |
| | 862 | | | | | | | Boston Omaha Corp., Class A Shares* | | | 12,318 | |
| | 208 | | | | | | | Cable One Inc. | | | 73,366 | |
| | 1,317 | | | | | | | Cardlytics Inc.* | | | 5,149 | |
| | 13,890 | | | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 20,835 | |
| | 72,064 | | | | | | | Criteo SA, ADR* | | | 3,417,996 | |
| | 4,547 | | | | | | | EchoStar Corp., Class A Shares* | | | 84,301 | |
| | 1,121 | | | | | | | Emerald Holding Inc. | | | 6,222 | |
| | 2,331 | | | | | | | Entravision Communications Corp., Class A Shares | | | 4,849 | |
| | 2,008 | | | | | | | EW Scripps Co. (The), Class A Shares* | | | 3,956 | |
| | 546 | | | | | | | Gambling.com Group Ltd.* | | | 5,564 | |
| | 4,982 | | | | | | | Gannett Co., Inc.* | | | 26,355 | |
| | 3,030 | | | | | | | Gray Television Inc. | | | 15,453 | |
| | 279 | | | | | | | Ibotta Inc., Class A Shares* | | | 15,956 | |
| | 4,494 | | | | | | | iHeartMedia Inc., Class A Shares* | | | 7,011 | |
| | 3,800 | | | | | | | Innovid Corp.* | | | 6,954 | |
| | 2,592 | | | | | | | Integral Ad Science Holding Corp.* | | | 30,145 | |
| | 13,997 | | | | | | | Interpublic Group of Cos., Inc. (The) | | | 456,442 | |
| | 1,385 | | | | | | | John Wiley & Sons Inc., Class A Shares | | | 66,909 | |
| | 512 | | | | | | | Liberty Broadband Corp., Class A Shares* | | | 31,360 | |
| | 4,174 | | | | | | | Liberty Broadband Corp., Class C Shares* | | | 260,374 | |
| | 5,529 | | | | | | | Liberty Media Corp.-Liberty SiriusXM* | | | 131,756 | |
| | 2,569 | | | | | | | Liberty Media Corp.-Liberty SiriusXM, Class A Shares* | | | 61,168 | |
| | 4,753 | | | | | | | Magnite Inc.* | | | 65,544 | |
| | 2,565 | | | | | | | National CineMedia Inc.* | | | 17,673 | |
| | 5,951 | | | | | | | New York Times Co. (The), Class A Shares | | | 326,888 | |
| | 13,802 | | | | | | | News Corp., Class A Shares | | | 391,011 | |
| | 4,658 | | | | | | | News Corp., Class B Shares | | | 137,085 | |
| | 7,726 | | | | | | | Nexstar Media Group Inc., Class A Shares | | | 1,320,219 | |
| | 379 | | | | | | | Paramount Global, Class A Shares | | | 8,402 | |
| | 21,927 | | | | | | | Paramount Global, Class B Shares | | | 229,576 | |
| | 1,595 | | | | | | | PubMatic Inc., Class A Shares* | | | 24,882 | |
| | 869 | | | | | | | Scholastic Corp. | | | 27,704 | |
| | 1,483 | | | | | | | Sinclair Inc. | | | 20,643 | |
| | 3,711 | | | | | | | Stagwell Inc., Class A Shares* | | | 26,682 | |
| | 1,022 | | | | | | | TechTarget Inc.* | | | 27,236 | |
| | 7,000 | | | | | | | TEGNA Inc. | | | 97,160 | |
| | 1,179 | | | | | | | Thryv Holdings Inc.* | | | 21,481 | |
See Notes to Financial Statements.
26
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 2.6% — (continued) | |
|
| Media — 1.6% — (continued) | |
| | 506 | | | | | | | Townsquare Media Inc., Class A Shares | | $ | 5,348 | |
| | 2,259 | | | | | | | WideOpenWest Inc.* | | | 12,470 | |
| | | | | | | | | | | | |
| | | | | | | | Total Media | | | 7,535,029 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.0%@ | |
| | 2,307 | | | | | | | Gogo Inc.* | | | 18,387 | |
| | 602 | | | | | | | Spok Holdings Inc. | | | 8,952 | |
| | 3,751 | | | | | | | Telephone & Data Systems Inc. | | | 88,598 | |
| | | | | | | | | | | | |
| | | | | | | | Total Wireless Telecommunication Services | | | 115,937 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COMMUNICATION SERVICES | | | 12,268,251 | |
| | | | | | | | | | | | |
|
| CONSUMER DISCRETIONARY — 11.4% | |
|
| Automobile Components — 0.9% | |
| | 44,046 | | | | | | | Adient PLC* | | | 996,320 | |
| | 4,445 | | | | | | | American Axle & Manufacturing Holdings Inc.* | | | 28,581 | |
| | 42,357 | | | | | | | BorgWarner Inc. | | | 1,443,103 | |
| | 593 | | | | | | | Cooper-Standard Holdings Inc.* | | | 9,162 | |
| | 4,871 | | | | | | | Dana Inc. | | | 54,994 | |
| | 937 | | | | | | | Dorman Products Inc.* | | | 106,274 | |
| | 1,602 | | | | | | | Fox Factory Holding Corp.* | | | 64,849 | |
| | 8,637 | | | | | | | Gentex Corp. | | | 270,597 | |
| | 1,151 | | | | | | | Gentherm Inc.* | | | 58,172 | |
| | 10,632 | | | | | | | Goodyear Tire & Rubber Co. (The)* | | | 93,774 | |
| | 2,083 | | | | | | | Holley Inc.* | | | 6,728 | |
| | 947 | | | | | | | LCI Industries | | | 111,594 | |
| | 2,111 | | | | | | | Lear Corp. | | | 246,248 | |
| | 10,315 | | | | | | | Luminar Technologies Inc., Class A Shares*(a) | | | 10,521 | |
| | 1,912 | | | | | | | Modine Manufacturing Co.* | | | 232,404 | |
| | 827 | | | | | | | Patrick Industries Inc. | | | 106,865 | |
| | 1,667 | | | | | | | Phinia Inc. | | | 79,949 | |
| | 12,845 | | | | | | | QuantumScape Corp., Class A Shares* | | | 74,629 | |
| | 5,627 | | | | | | | Solid Power Inc.* | | | 8,047 | |
| | 760 | | | | | | | Standard Motor Products Inc. | | | 24,556 | |
| | 946 | | | | | | | Stoneridge Inc.* | | | 13,566 | |
| | 1,030 | | | | | | | Visteon Corp.* | | | 104,267 | |
| | 833 | | | | | | | XPEL Inc.* | | | 36,061 | |
| | | | | | | | | | | | |
| | | | | | | | Total Automobile Components | | | 4,181,261 | |
| | | | | | | | | | | | |
|
| Automobiles — 0.2% | |
| | 3,988 | | | | | | | Canoo Inc.*(a) | | | 6,062 | |
| | 4,583 | | | | | | | Harley-Davidson Inc. | | | 171,587 | |
| | 1,131 | | | | | | | Livewire Group Inc.* | | | 7,442 | |
| | 32,566 | | | | | | | Lucid Group Inc.*(a) | | | 130,915 | |
| | 30,524 | | | | | | | Rivian Automotive Inc., Class A Shares*(a) | | | 431,304 | |
| | 1,849 | | | | | | | Thor Industries Inc. | | | 198,324 | |
| | 1,063 | | | | | | | Winnebago Industries Inc. | | | 63,419 | |
| | | | | | | | | | | | |
| | | | | | | | Total Automobiles | | | 1,009,053 | |
| | | | | | | | | | | | |
|
| Broadline Retail — 0.2% | |
| | 1,462 | | | | | | | 1stdibs.com Inc.* | | | 7,178 | |
| | 115 | | | | | | | Dillard’s Inc., Class A Shares | | | 38,982 | |
| | 4,309 | | | | | | | Etsy Inc.* | | | 237,383 | |
| | 849 | | | | | | | Groupon Inc., Class A Shares* | | | 11,776 | |
| | 4,214 | | | | | | | Kohl’s Corp. | | | 81,709 | |
| | 10,184 | | | | | | | Macy’s Inc. | | | 158,565 | |
See Notes to Financial Statements.
27
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 11.4% — (continued) | |
|
| Broadline Retail — 0.2% — (continued) | |
| | 3,672 | | | | | | | Nordstrom Inc. | | $ | 82,033 | |
| | 2,277 | | | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 203,928 | |
| | 946 | | | | | | | Savers Value Village Inc.* | | | 8,372 | |
| | | | | | | | | | | | |
| | | | | | | | Total Broadline Retail | | | 829,926 | |
| | | | | | | | | | | | |
|
| Distributors — 0.1% | |
| | 652 | | | | | | | A-Mark Precious Metals Inc. | | | 25,408 | |
| | 869 | | | | | | | GigaCloud Technology Inc., Class A Shares* | | | 16,893 | |
| | 1,372 | | | | | | | Pool Corp. | | | 482,423 | |
| | 138 | | | | | | | Weyco Group Inc. | | | 4,607 | |
| | | | | | | | | | | | |
| | | | | | | | Total Distributors | | | 529,331 | |
| | | | | | | | | | | | |
|
| | Diversified Consumer Services — 0.7% | |
| | 155,991 | | | | | | | ADT Inc. | | | 1,137,174 | |
| | 1,472 | | | | | | | Adtalem Global Education Inc.* | | | 111,445 | |
| | 581 | | | | | | | American Public Education Inc.* | | | 9,714 | |
| | 2,143 | | | | | | | Bright Horizons Family Solutions Inc.* | | | 301,563 | |
| | 552 | | | | | | | Carriage Services Inc., Class A Shares | | | 18,299 | |
| | 4,181 | | | | | | | Chegg Inc.* | | | 9,031 | |
| | 4,598 | | | | | | | Coursera Inc.* | | | 37,244 | |
| | 1,362 | | | | | | | Duolingo Inc., Class A Shares* | | | 289,520 | |
| | 1,392 | | | | | | | European Wax Center Inc., Class A Shares* | | | 9,605 | |
| | 2,971 | | | | | | | Frontdoor Inc.* | | | 142,846 | |
| | 121 | | | | | | | Graham Holdings Co., Class B Shares | | | 96,218 | |
| | 1,041 | | | | | | | Grand Canyon Education Inc.* | | | 150,955 | |
| | 5,154 | | | | | | | H&R Block Inc. | | | 326,300 | |
| | 4,855 | | | | | | | Laureate Education Inc., Class A Shares | | | 74,864 | |
| | 914 | | | | | | | Lincoln Educational Services Corp.* | | | 11,379 | |
| | 2,966 | | | | | | | Mister Car Wash Inc.* | | | 19,309 | |
| | 2,768 | | | | | | | Nerdy Inc.* | | | 2,989 | |
| | 3,688 | | | | | | | OneSpaWorld Holdings Ltd. | | | 58,529 | |
| | 2,218 | | | | | | | Perdoceo Education Corp. | | | 49,772 | |
| | 5,248 | | | | | | | Service Corp. International | | | 410,761 | |
| | 844 | | | | | | | Strategic Education Inc. | | | 81,446 | |
| | 1,561 | | | | | | | Stride Inc.* | | | 128,533 | |
| | 3,796 | | | | | | | Udemy Inc.* | | | 32,152 | |
| | 1,399 | | | | | | | Universal Technical Institute Inc.* | | | 24,413 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Consumer Services | | | 3,534,061 | |
| | | | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 2.8% | |
| | 2,156 | | | | | | | Accel Entertainment Inc., Class A Shares* | | | 25,139 | |
| | 9,617 | | | | | | | Aramark | | | 352,271 | |
| | 952 | | | | | | | Bally’s Corp.* | | | 16,374 | |
| | 43 | | | | | | | Biglari Holdings Inc., Class B Shares* | | | 7,697 | |
| | 711 | | | | | | | BJ’s Restaurants Inc.* | | | 21,778 | |
| | 3,068 | | | | | | | Bloomin’ Brands Inc. | | | 53,690 | |
| | 2,538 | | | | | | | Boyd Gaming Corp. | | | 152,331 | |
| | 1,625 | | | | | | | Brinker International Inc.* | | | 116,220 | |
| | 7,944 | | | | | | | Caesars Entertainment Inc.* | | | 299,012 | |
| | 2,801 | | | | | | | Cava Group Inc.* | | | 319,426 | |
| | 1,828 | | | | | | | Cheesecake Factory Inc. (The) | | | 71,859 | |
| | 1,063 | | | | | | | Choice Hotels International Inc.(a) | | | 135,628 | |
| | 13,834 | | | | | | | Churchill Downs Inc. | | | 1,922,511 | |
| | 673 | | | | | | | Chuy’s Holdings Inc.* | | | 25,036 | |
| | 773 | | | | | | | Cracker Barrel Old Country Store Inc. | | | 30,595 | |
See Notes to Financial Statements.
28
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 11.4% — (continued) | |
|
| Hotels, Restaurants & Leisure — 2.8% — (continued) | |
| | 1,196 | | | | | | | Dave & Buster’s Entertainment Inc.* | | $ | 37,483 | |
| | 1,906 | | | | | | | Denny’s Corp.* | | | 12,465 | |
| | 2,270 | | | | | | | Despegar.com Corp.* | | | 27,898 | |
| | 12,642 | | | | | | | Dine Brands Global Inc. | | | 399,740 | |
| | 3,390 | | | | | | | Dutch Bros Inc., Class A Shares* | | | 105,090 | |
| | 756 | | | | | | | El Pollo Loco Holdings Inc.* | | | 10,478 | |
| | 163 | | | | | | | Empire Resorts Inc.*(b)# | | | — | |
| | 2,900 | | | | | | | Everi Holdings Inc.* | | | 37,845 | |
| | 1,056 | | | | | | | First Watch Restaurant Group Inc.* | | | 17,435 | |
| | 1,323 | | | | | | | Full House Resorts Inc.* | | | 6,761 | |
| | 4,449 | | | | | | | Global Business Travel Group I* | | | 31,098 | |
| | 752 | | | | | | | Golden Entertainment Inc. | | | 24,357 | |
| | 2,815 | | | | | | | Hilton Grand Vacations Inc.* | | | 108,603 | |
| | 1,622 | | | | | | | Hyatt Hotels Corp., Class A Shares | | | 246,414 | |
| | 1,130 | | | | | | | Inspired Entertainment Inc.* | | | 10,204 | |
| | 81,790 | | | | | | | International Game Technology PLC | | | 1,831,278 | |
| | 736 | | | | | | | Jack in the Box Inc. | | | 36,329 | |
| | 3,158 | | | | | | | Krispy Kreme Inc. | | | 35,591 | |
| | 232 | | | | | | | Kura Sushi USA Inc., Class A Shares*(a) | | | 15,310 | |
| | 2,151 | | | | | | | Life Time Group Holdings Inc.* | | | 50,592 | |
| | 3,366 | | | | | | | Light & Wonder Inc., Class A Shares* | | | 369,654 | |
| | 1,085 | | | | | | | Lindblad Expeditions Holdings Inc.* | | | 10,763 | |
| | 1,338 | | | | | | | Marriott Vacations Worldwide Corp. | | | 99,012 | |
| | 440 | | | | | | | Monarch Casino & Resort Inc. | | | 33,405 | |
| | 1,579 | | | | | | | Mondee Holdings Inc., Class A Shares* | | | 3,158 | |
| | 79 | | | | | | | Nathan’s Famous Inc. | | | 6,149 | |
| | 15,905 | | | | | | | Norwegian Cruise Line Holdings Ltd.* | | | 284,540 | |
| | 786 | | | | | | | ONE Group Hospitality Inc. (The)* | | | 3,026 | |
| | 1,264 | | | | | | | Papa John’s International Inc. | | | 59,876 | |
| | 5,576 | | | | | | | Penn Entertainment Inc.* | | | 103,825 | |
| | 3,227 | | | | | | | Planet Fitness Inc., Class A Shares* | | | 262,065 | |
| | 1,236 | | | | | | | PlayAGS Inc.* | | | 13,991 | |
| | 2,153 | | | | | | | Portillo’s Inc., Class A Shares* | | | 26,503 | |
| | 893 | | | | | | | Potbelly Corp.* | | | 7,126 | |
| | 318 | | | | | | | RCI Hospitality Holdings Inc. | | | 14,498 | |
| | 1,855 | | | | | | | Red Rock Resorts Inc., Class A Shares | | | 108,109 | |
| | 3,165 | | | | | | | Rush Street Interactive Inc.* | | | 29,656 | |
| | 12,587 | | | | | | | Sabre Corp.* | | | 38,390 | |
| | 1,420 | | | | | | | Shake Shack Inc., Class A Shares* | | | 141,162 | |
| | 1,490 | | | | | | | Six Flags Entertainment Corp. | | | 65,232 | |
| | 4,395 | | | | | | | Super Group SGHC Ltd. | | | 15,163 | |
| | 3,613 | | | | | | | Sweetgreen Inc., Class A Shares* | | | 114,207 | |
| | 1,370 | | | | | | | Target Hospitality Corp.* | | | 13,275 | |
| | 7,255 | | | | | | | Texas Roadhouse Inc., Class A Shares | | | 1,224,281 | |
| | 2,733 | | | | | | | Travel + Leisure Co. | | | 120,963 | |
| | 9,824 | | | | | | | United Parks & Resorts Inc.* | | | 483,537 | |
| | 1,411 | | | | | | | Vail Resorts Inc. | | | 256,379 | |
| | 21,310 | | | | | | | Viking Holdings Ltd.* | | | 714,950 | |
| | 6,433 | | | | | | | Wendy’s Co. (The) | | | 108,846 | |
| | 3,501 | | | | | | | Wingstop Inc. | | | 1,351,771 | |
| | 2,911 | | | | | | | Wyndham Hotels & Resorts Inc. | | | 229,096 | |
| | 3,819 | | | | | | | Wynn Resorts Ltd. | | | 293,605 | |
| | 901 | | | | | | | Xponential Fitness Inc., Class A Shares* | | | 11,641 | |
| | | | | | | | | | | | |
| | | | | | | | Total Hotels, Restaurants & Leisure | | | 13,212,392 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
29
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 11.4% — (continued) | |
|
| Household Durables — 2.3% | |
| | 998 | | | | | | | Beazer Homes USA Inc.* | | $ | 31,217 | |
| | 311 | | | | | | | Cavco Industries Inc.* | | | 128,543 | |
| | 1,098 | | | | | | | Century Communities Inc. | | | 109,877 | |
| | 1,917 | | | | | | | Champion Homes Inc.* | | | 179,067 | |
| | 1,709 | | | | | | | Cricut Inc., Class A Shares | | | 9,878 | |
| | 929 | | | | | | | Dream Finders Homes Inc., Class A Shares* | | | 31,075 | |
| | 824 | | | | | | | Ethan Allen Interiors Inc. | | | 25,940 | |
| | 214 | | | | | | | Flexsteel Industries Inc. | | | 8,855 | |
| | 4,982 | | | | | | | GoPro Inc., Class A Shares* | | | 6,377 | |
| | 1,155 | | | | | | | Green Brick Partners Inc.* | | | 90,991 | |
| | 417 | | | | | | | Hamilton Beach Brands Holding Co., Class A Shares | | | 12,214 | |
| | 904 | | | | | | | Helen of Troy Ltd.* | | | 48,256 | |
| | 330 | | | | | | | Hooker Furnishings Corp. | | | 5,227 | |
| | 203 | | | | | | | Hovnanian Enterprises Inc., Class A Shares* | | | 43,895 | |
| | 885 | | | | | | | Installed Building Products Inc. | | | 196,744 | |
| | 1,016 | | | | | | | iRobot Corp.* | | | 7,437 | |
| | 2,422 | | | | | | | KB Home | | | 202,746 | |
| | 713 | | | | | | | Landsea Homes Corp.* | | | 8,492 | |
| | 1,475 | | | | | | | La-Z-Boy Inc. | | | 59,841 | |
| | 368 | | | | | | | Legacy Housing Corp.* | | | 9,921 | |
| | 4,659 | | | | | | | Leggett & Platt Inc. | | | 58,890 | |
| | 777 | | | | | | | LGI Homes Inc.* | | | 83,823 | |
| | 801 | | | | | | | Lifetime Brands Inc. | | | 5,727 | |
| | 483 | | | | | | | Lovesac Co. (The)* | | | 11,225 | |
| | 11,812 | | | | | | | M/I Homes Inc.* | | | 1,882,478 | |
| | 10,933 | | | | | | | Meritage Homes Corp. | | | 2,165,499 | |
| | 1,969 | | | | | | | Mohawk Industries Inc.* | | | 305,471 | |
| | 15,468 | | | | | | | Newell Brands Inc. | | | 109,668 | |
| | 5,305 | | | | | | | PulteGroup Inc. | | | 698,403 | |
| | 2,062 | | | | | | | Purple Innovation Inc., Class A Shares* | | | 2,474 | |
| | 2,465 | | | | | | | SharkNinja Inc. | | | 236,196 | |
| | 4,598 | | | | | | | Sonos Inc.* | | | 56,234 | |
| | 18,365 | | | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 1,236,515 | |
| | 19,903 | | | | | | | Tempur Sealy International Inc. | | | 1,043,514 | |
| | 3,896 | | | | | | | Toll Brothers Inc. | | | 561,297 | |
| | 1,182 | | | | | | | TopBuild Corp.* | | | 464,550 | |
| | 1,614 | | | | | | | Traeger Inc.* | | | 5,794 | |
| | 3,362 | | | | | | | Tri Pointe Homes Inc.* | | | 149,407 | |
| | 2,930 | | | | | | | Vizio Holding Corp., Class A Shares* | | | 32,904 | |
| | 3,655 | | | | | | | Whirlpool Corp. | | | 366,560 | |
| | 1,214 | | | | | | | Worthington Enterprises Inc. | | | 55,601 | |
| | | | | | | | | | | | |
| | | | | | | | Total Household Durables | | | 10,748,823 | |
| | | | | | | | | | | | |
|
| Leisure Products — 0.5% | |
| | 1,074 | | | | | | | Acushnet Holdings Corp. | | | 71,947 | |
| | 4,531 | | | | | | | AMMO Inc.* | | | 7,204 | |
| | 14,772 | | | | | | | Brunswick Corp. | | | 1,167,727 | |
| | 970 | | | | | | | Clarus Corp. | | | 4,181 | |
| | 445 | | | | | | | Escalade Inc. | | | 6,221 | |
| | 1,453 | | | | | | | Funko Inc., Class A Shares* | | | 15,213 | |
| | 5,168 | | | | | | | Hasbro Inc. | | | 352,251 | |
| | 271 | | | | | | | JAKKS Pacific Inc.* | | | 6,677 | |
| | 182 | | | | | | | Johnson Outdoors Inc., Class A Shares | | | 6,543 | |
| | 1,748 | | | | | | | Latham Group Inc.* | | | 10,925 | |
| | 667 | | | | | | | Malibu Boats Inc., Class A Shares* | | | 24,259 | |
| | 338 | | | | | | | Marine Products Corp. | | | 3,177 | |
See Notes to Financial Statements.
30
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 11.4% — (continued) | |
|
| Leisure Products — 0.5% — (continued) | |
| | 691 | | | | | | | MasterCraft Boat Holdings Inc.* | | $ | 12,804 | |
| | 12,686 | | | | | | | Mattel Inc.* | | | 240,780 | |
| | 12,845 | | | | | | | Peloton Interactive Inc., Class A Shares* | | | 59,858 | |
| | 1,947 | | | | | | | Polaris Inc. | | | 164,814 | |
| | 1,577 | | | | | | | Smith & Wesson Brands Inc. | | | 23,245 | |
| | 740 | | | | | | | Solo Brands Inc., Class A Shares* | | | 1,014 | |
| | 678 | | | | | | | Sturm Ruger & Co., Inc. | | | 28,557 | |
| | 5,393 | | | | | | | Topgolf Callaway Brands Corp.* | | | 54,254 | |
| | 2,104 | | | | | | | Vista Outdoor Inc.* | | | 84,244 | |
| | 3,217 | | | | | | | YETI Holdings Inc.* | | | 129,709 | |
| | | | | | | | | | | | |
| | | | | | | | Total Leisure Products | | | 2,475,604 | |
| | | | | | | | | | | | |
|
| Specialty Retail — 2.5% | |
| | 932 | | | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 7,484 | |
| | 1,002 | | | | | | | Aaron’s Co., Inc. (The) | | | 10,110 | |
| | 7,645 | | | | | | | Abercrombie & Fitch Co., Class A Shares* | | | 1,128,173 | |
| | 2,692 | | | | | | | Academy Sports & Outdoors Inc. | | | 149,352 | |
| | 2,243 | | | | | | | Advance Auto Parts Inc. | | | 101,630 | |
| | 6,836 | | | | | | | American Eagle Outfitters Inc. | | | 140,685 | |
| | 216 | | | | | | | America’s Car-Mart Inc.* | | | 13,074 | |
| | 1,871 | | | | | | | Arhaus Inc., Class A Shares | | | 23,032 | |
| | 2,699 | | | | | | | Arko Corp. | | | 16,896 | |
| | 739 | | | | | | | Asbury Automotive Group Inc.* | | | 181,528 | |
| | 7,909 | | | | | | | AutoNation Inc.* | | | 1,407,644 | |
| | 5,855 | | | | | | | BARK Inc.* | | | 9,778 | |
| | 34,502 | | | | | | | Bath & Body Works Inc. | | | 1,061,282 | |
| | 1,539 | | | | | | | Beyond Inc.* | | | 15,128 | |
| | 1,107 | | | | | | | Boot Barn Holdings Inc.* | | | 148,526 | |
| | 1,199 | | | | | | | Buckle Inc. (The) | | | 50,238 | |
| | 589 | | | | | | | Build-A-Bear Workshop Inc. | | | 19,661 | |
| | 14,367 | | | | | | | Caleres Inc. | | | 605,282 | |
| | 1,580 | | | | | | | Camping World Holdings Inc., Class A Shares | | | 34,665 | |
| | 3,921 | | | | | | | Carvana Co., Class A Shares* | | | 590,581 | |
| | 307 | | | | | | | Citi Trends Inc.* | | | 4,390 | |
| | 1,417 | | | | | | | Designer Brands Inc., Class A Shares | | | 9,409 | |
| | 1,732 | | | | | | | Destination XL Group Inc.* | | | 4,763 | |
| | 5,990 | | | | | | | Dick’s Sporting Goods Inc. | | | 1,419,390 | |
| | 4,959 | | | | | | | EVgo Inc., Class A Shares*(a) | | | 22,464 | |
| | 2,028 | | | | | | | Five Below Inc.* | | | 152,972 | |
| | 3,900 | | | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 438,516 | |
| | 3,166 | | | | | | | Foot Locker Inc. | | | 98,589 | |
| | 9,989 | | | | | | | GameStop Corp., Class A Shares*(a) | | | 233,942 | |
| | 7,516 | | | | | | | Gap Inc. (The) | | | 168,584 | |
| | 483 | | | | | | | Genesco Inc.* | | | 14,582 | |
| | 938 | | | | | | | Group 1 Automotive Inc. | | | 353,401 | |
| | 2,023 | | | | | | | GrowGeneration Corp.* | | | 3,945 | |
| | 560 | | | | | | | Haverty Furniture Cos., Inc. | | | 15,344 | |
| | 264 | | | | | | | J Jill Inc. | | | 8,588 | |
| | 617 | | | | | | | Lands’ End Inc.* | | | 9,557 | |
| | 5,938 | | | | | | | Leslie’s Inc.* | | | 17,933 | |
| | 1,007 | | | | | | | Lithia Motors Inc., Class A Shares | | | 303,188 | |
| | 680 | | | | | | | MarineMax Inc.* | | | 21,570 | |
| | 980 | | | | | | | Monro Inc. | | | 26,548 | |
| | 706 | | | | | | | Murphy USA Inc. | | | 366,859 | |
| | 2,727 | | | | | | | National Vision Holdings Inc.* | | | 28,797 | |
See Notes to Financial Statements.
31
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 11.4% — (continued) | |
|
| Specialty Retail — 2.5% — (continued) | |
| | 14,592 | | | | | | | ODP Corp. (The)* | | $ | 450,163 | |
| | 338 | | | | | | | OneWater Marine Inc., Class A Shares* | | | 8,122 | |
| | 694 | | | | | | | Penske Automotive Group Inc. | | | 118,049 | |
| | 3,269 | | | | | | | Petco Health & Wellness Co., Inc., Class A Shares* | | | 10,428 | |
| | 3,607 | | | | | | | RealReal Inc. (The)* | | | 9,522 | |
| | 39,639 | | | | | | | Revolve Group Inc., Class A Shares* | | | 908,526 | |
| | 558 | | | | | | | RH* | | | 141,565 | |
| | 4,000 | | | | | | | Sally Beauty Holdings Inc.* | | | 52,200 | |
| | 641 | | | | | | | Shoe Carnival Inc. | | | 25,922 | |
| | 1,564 | | | | | | | Signet Jewelers Ltd. | | | 131,532 | |
| | 936 | | | | | | | Sleep Number Corp.* | | | 14,237 | |
| | 527 | | | | | | | Sonic Automotive Inc., Class A Shares | | | 32,853 | |
| | 3,079 | | | | | | | Stitch Fix Inc., Class A Shares* | | | 11,639 | |
| | 3,143 | | | | | | | ThredUp Inc., Class A Shares* | | | 2,873 | |
| | 1,558 | | | | | | | Tile Shop Holdings Inc.* | | | 9,815 | |
| | 885 | | | | | | | Tilly’s Inc., Class A Shares* | | | 4,744 | |
| | 416 | | | | | | | Torrid Holdings Inc.* | | | 2,746 | |
| | 2,083 | | | | | | | Upbound Group Inc. | | | 69,364 | |
| | 2,267 | | | | | | | Urban Outfitters Inc.* | | | 82,337 | |
| | 4,809 | | | | | | | Valvoline Inc.* | | | 202,940 | |
| | 2,979 | | | | | | | Victoria’s Secret & Co.* | | | 69,887 | |
| | 3,198 | | | | | | | Warby Parker Inc., Class A Shares* | | | 47,714 | |
| | 3,434 | | | | | | | Wayfair Inc., Class A Shares* | | | 146,117 | |
| | 105 | | | | | | | Winmark Corp. | | | 37,863 | |
| | 661 | | | | | | | Zumiez Inc.* | | | 18,336 | |
| | | | | | | | | | | | |
| | | | | | | | Total Specialty Retail | | | 12,047,574 | |
| | | | | | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 1.2% | |
| | 4,453 | | | | | | | Amer Sports Inc.* | | | 60,783 | |
| | 1,472 | | | | | | | Birkenstock Holding PLC* | | | 73,453 | |
| | 4,272 | | | | | | | Capri Holdings Ltd.* | | | 152,596 | |
| | 1,387 | | | | | | | Carter’s Inc. | | | 91,403 | |
| | 1,194 | | | | | | | Columbia Sportswear Co. | | | 96,392 | |
| | 8,460 | | | | | | | Crocs Inc.* | | | 1,236,598 | |
| | 4,676 | | | | | | | Figs Inc., Class A Shares* | | | 28,851 | |
| | 1,577 | | | | | | | G-III Apparel Group Ltd.* | | | 41,743 | |
| | 13,309 | | | | | | | Hanesbrands Inc.* | | | 84,512 | |
| | 2,005 | | | | | | | Kontoor Brands Inc. | | | 150,074 | |
| | 555 | | | | | | | Movado Group Inc. | | | 13,242 | |
| | 519 | | | | | | | Oxford Industries Inc. | | | 45,143 | |
| | 10,005 | | | | | | | PVH Corp. | | | 987,393 | |
| | 1,423 | | | | | | | Ralph Lauren Corp., Class A Shares | | | 243,703 | |
| | 279 | | | | | | | Rocky Brands Inc. | | | 8,995 | |
| | 5,026 | | | | | | | Skechers USA Inc., Class A Shares* | | | 344,181 | |
| | 2,578 | | | | | | | Steven Madden Ltd. | | | 116,268 | |
| | 481 | | | | | | | Superior Group of Cos., Inc. | | | 6,965 | |
| | 29,996 | | | | | | | Tapestry Inc. | | | 1,228,936 | |
| | 6,905 | | | | | | | Under Armour Inc., Class A Shares* | | | 53,099 | |
| | 65,830 | | | | | | | Under Armour Inc., Class C Shares* | | | 491,092 | |
| | 13,043 | | | | | | | V.F. Corp. | | | 237,513 | |
| | 954 | | | | | | | Vera Bradley Inc.* | | | 5,562 | |
| | 2,722 | | | | | | | Wolverine World Wide Inc. | | | 37,319 | |
| | | | | | | | | | | | |
| | | | | | | | Total Textiles, Apparel & Luxury Goods | | | 5,835,816 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CONSUMER DISCRETIONARY | | | 54,403,841 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
32
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 2.4% | |
|
| Beverages — 0.2% | |
| | 347 | | | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | $ | 94,287 | |
| | 6,549 | | | | | | | Celsius Holdings Inc.*(a) | | | 249,058 | |
| | 219 | | | | | | | Coca-Cola Consolidated Inc. | | | 293,985 | |
| | 1,699 | | | | | | | Duckhorn Portfolio Inc. (The)* | | | 10,755 | |
| | 530 | | | | | | | MGP Ingredients Inc. | | | 47,483 | |
| | 871 | | | | | | | National Beverage Corp. | | | 39,334 | |
| | 5,828 | | | | | | | Primo Water Corp. | | | 128,799 | |
| | 1,431 | | | | | | | Vita Coco Co., Inc. (The)* | | | 37,378 | |
| | | | | | | | | | | | |
| | | | | | | | Total Beverages | | | 901,079 | |
| | | | | | | | | | | | |
|
| Consumer Staples Distribution & Retail — 0.7% | |
| | 15,647 | | | | | | | Albertsons Cos., Inc., Class A Shares | | | 306,994 | |
| | 1,190 | | | | | | | Andersons Inc. (The) | | | 60,654 | |
| | 4,888 | | | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 390,844 | |
| | 1,374 | | | | | | | Casey’s General Stores Inc. | | | 497,814 | |
| | 1,302 | | | | | | | Chefs’ Warehouse Inc. (The)* | | | 55,765 | |
| | 3,619 | | | | | | | Grocery Outlet Holding Corp.* | | | 68,544 | |
| | 1,410 | | | | | | | HF Foods Group Inc.* | | | 5,006 | |
| | 551 | | | | | | | Ingles Markets Inc., Class A Shares | | | 40,774 | |
| | 6,384 | | | | | | | Maplebear Inc.* | | | 229,122 | |
| | 321 | | | | | | | Natural Grocers by Vitamin Cottage Inc. | | | 8,545 | |
| | 5,706 | | | | | | | Performance Food Group Co.* | | | 425,896 | |
| | 886 | | | | | | | PriceSmart Inc. | | | 79,368 | |
| | 1,338 | | | | | | | SpartanNash Co. | | | 29,556 | |
| | 3,725 | | | | | | | Sprouts Farmers Market Inc.* | | | 387,586 | |
| | 2,231 | | | | | | | United Natural Foods Inc.* | | | 33,755 | |
| | 8,543 | | | | | | | US Foods Holding Corp.* | | | 505,831 | |
| | 334 | | | | | | | Village Super Market Inc., Class A Shares | | | 10,738 | |
| | 639 | | | | | | | Weis Markets Inc. | | | 43,184 | |
| | | | | | | | | | | | |
| | | | | | | | Total Consumer Staples Distribution & Retail | | | 3,179,976 | |
| | | | | | | | | | | | |
|
| Food Products — 1.0% | |
| | 185 | | | | | | | Alico Inc. | | | 5,420 | |
| | 2,524 | | | | | | | B&G Foods Inc. | | | 21,378 | |
| | 2,282 | | | | | | | Beyond Meat Inc.*(a) | | | 13,875 | |
| | 2,297 | | | | | | | BRC Inc., Class A Shares* | | | 10,176 | |
| | 610 | | | | | | | Calavo Growers Inc. | | | 14,042 | |
| | 1,485 | | | | | | | Cal-Maine Foods Inc. | | | 106,979 | |
| | 5,890 | | | | | | | Darling Ingredients Inc.* | | | 245,790 | |
| | 2,569 | | | | | | | Dole PLC | | | 41,387 | |
| | 6,840 | | | | | | | Flowers Foods Inc. | | | 158,962 | |
| | 1,375 | | | | | | | Fresh Del Monte Produce Inc. | | | 40,205 | |
| | 1,729 | | | | | | | Freshpet Inc.* | | | 235,144 | |
| | 40,576 | | | | | | | Hain Celestial Group Inc. (The)* | | | 324,608 | |
| | 2,449 | | | | | | | Ingredion Inc. | | | 328,925 | |
| | 557 | | | | | | | J&J Snack Foods Corp. | | | 94,796 | |
| | 317 | | | | | | | John B Sanfilippo & Son Inc. | | | 30,074 | |
| | 7,935 | | | | | | | Lamb Weston Holdings Inc. | | | 491,335 | |
| | 696 | | | | | | | Lancaster Colony Corp. | | | 118,849 | |
| | 537 | | | | | | | Limoneira Co. | | | 13,468 | |
| | 1,209 | | | | | | | Mama’s Creations Inc.* | | | 9,684 | |
| | 1,936 | | | | | | | Mission Produce Inc.* | | | 20,754 | |
| | 53,736 | | | | | | | Nomad Foods Ltd. | | | 1,010,237 | |
| | 1,658 | | | | | | | Pilgrim’s Pride Corp.* | | | 77,230 | |
| | 1,832 | | | | | | | Post Holdings Inc.* | | | 212,091 | |
See Notes to Financial Statements.
33
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 2.4% — (continued) | |
|
| Food Products — 1.0% — (continued) | |
| | 9 | | | | | | | Seaboard Corp. | | $ | 27,993 | |
| | 203 | | | | | | | Seneca Foods Corp., Class A Shares* | | | 12,235 | |
| | 3,348 | | | | | | | Simply Good Foods Co. (The)* | | | 105,763 | |
| | 3,519 | | | | | | | SunOpta Inc.* | | | 20,234 | |
| | 17,752 | | | | | | | TreeHouse Foods Inc.* | | | 729,430 | |
| | 2,418 | | | | | | | Utz Brands Inc. | | | 40,840 | |
| | 1,211 | | | | | | | Vital Farms Inc.* | | | 38,086 | |
| | 966 | | | | | | | Westrock Coffee Co.* | | | 7,723 | |
| | 2,432 | | | | | | | WK Kellogg Co. | | | 41,757 | |
| | | | | | | | | | | | |
| | | | | | | | Total Food Products | | | 4,649,470 | |
| | | | | | | | | | | | |
|
| Household Products — 0.1% | |
| | 362 | | | | | | | Central Garden & Pet Co.* | | | 14,288 | |
| | 1,778 | | | | | | | Central Garden & Pet Co., Class A Shares* | | | 60,808 | |
| | 2,707 | | | | | | | Energizer Holdings Inc. | | | 87,707 | |
| | 171 | | | | | | | Oil-Dri Corp. of America | | | 11,660 | |
| | 2,043 | | | | | | | Reynolds Consumer Products Inc. | | | 64,354 | |
| | 1,086 | | | | | | | Spectrum Brands Holdings Inc. | | | 102,432 | |
| | 481 | | | | | | | WD-40 Co. | | | 126,426 | |
| | | | | | | | | | | | |
| | | | | | | | Total Household Products | | | 467,675 | |
| | | | | | | | | | | | |
|
| Personal Care Products — 0.4% | |
| | 3,042 | | | | | | | Beauty Health Co. (The)* | | | 5,445 | |
| | 4,820 | | | | | | | BellRing Brands Inc.* | | | 269,583 | |
| | 14,676 | | | | | | | Coty Inc., Class A Shares* | | | 137,661 | |
| | 1,823 | | | | | | | Edgewell Personal Care Co. | | | 73,321 | |
| | 6,973 | | | | | | | elf Beauty Inc.* | | | 1,044,486 | |
| | 3,659 | | | | | | | Herbalife Ltd.* | | | 29,857 | |
| | 2,786 | | | | | | | Honest Co., Inc. (The)* | | | 13,011 | |
| | 677 | | | | | | | Inter Parfums Inc. | | | 87,225 | |
| | 412 | | | | | | | Medifast Inc. | | | 7,540 | |
| | 462 | | | | | | | Nature’s Sunshine Products Inc.* | | | 6,375 | |
| | 1,812 | | | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 16,181 | |
| | 9,700 | | | | | | | Oddity Tech Ltd., Class A Shares*(a) | | | 356,960 | |
| | 5,174 | | | | | | | Olaplex Holdings Inc.* | | | 10,814 | |
| | 416 | | | | | | | USANA Health Sciences Inc.* | | | 16,981 | |
| | 8,130 | | | | | | | Veru Inc.* | | | 6,653 | |
| | 1,477 | | | | | | | Waldencast PLC, Class A Shares* | | | 4,726 | |
| | | | | | | | | | | | |
| | | | | | | | Total Personal Care Products | | | 2,086,819 | |
| | | | | | | | | | | | |
|
| Tobacco — 0.0%@ | |
| | 660 | | | | | | | Ispire Technology Inc.* | | | 4,778 | |
| | 534 | | | | | | | Turning Point Brands Inc. | | | 21,168 | |
| | 938 | | | | | | | Universal Corp. | | | 50,933 | |
| | 5,666 | | | | | | | Vector Group Ltd. | | | 84,877 | |
| | | | | | | | | | | | |
| | | | | | | | Total Tobacco | | | 161,756 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CONSUMER STAPLES | | | 11,446,775 | |
| | | | | | | | | | | | |
|
| ENERGY — 4.8% | |
|
| Energy Equipment & Services — 1.4% | |
| | 5,796 | | | | | | | Archrock Inc. | | | 117,253 | |
| | 2,517 | | | | | | | Atlas Energy Solutions Inc., Class A Shares | | | 53,084 | |
| | 8,246 | | | | | | | Borr Drilling Ltd.* | | | 50,053 | |
| | 870 | | | | | | | Bristow Group Inc.* | | | 34,635 | |
| | 2,415 | | | | | | | Cactus Inc., Class A Shares | | | 143,741 | |
See Notes to Financial Statements.
34
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 4.8% — (continued) | |
|
| Energy Equipment & Services — 1.4% — (continued) | |
| | 34,611 | | | | | | | ChampionX Corp. | | $ | 1,077,440 | |
| | 1,670 | | | | | | | Core Laboratories Inc. | | | 32,665 | |
| | 3,613 | | | | | | | Diamond Offshore Drilling Inc.* | | | 51,810 | |
| | 699 | | | | | | | DMC Global Inc.* | | | 8,647 | |
| | 12,596 | | | | | | | Dril-Quip Inc.* | | | 205,441 | |
| | 41,367 | | | | | | | Expro Group Holdings NV* | | | 821,549 | |
| | 302 | | | | | | | Forum Energy Technologies Inc.* | | | 5,240 | |
| | 758 | | | | | | | Geospace Technologies Corp.* | | | 7,823 | |
| | 5,447 | | | | | | | Helix Energy Solutions Group Inc.* | | | 61,115 | |
| | 3,660 | | | | | | | Helmerich & Payne Inc. | | | 119,426 | |
| | 6,678 | | | | | | | ION Geophysical Corp.*(b)# | | | — | |
| | 820 | | | | | | | Kodiak Gas Services Inc. | | | 22,755 | |
| | 5,855 | | | | | | | Liberty Energy Inc., Class A Shares | | | 120,554 | |
| | 1,296 | | | | | | | Mammoth Energy Services Inc.* | | | 4,951 | |
| | 341 | | | | | | | Nabors Industries Ltd.* | | | 25,701 | |
| | 395 | | | | | | | Natural Gas Services Group Inc.* | | | 8,662 | |
| | 2,604 | | | | | | | Newpark Resources Inc.* | | | 21,431 | |
| | 4,220 | | | | | | | Noble Corp. PLC | | | 160,993 | |
| | 14,707 | | | | | | | NOV Inc. | | | 261,343 | |
| | 3,774 | | | | | | | Oceaneering International Inc.* | | | 101,860 | |
| | 2,009 | | | | | | | Oil States International Inc.* | | | 10,628 | |
| | 42,706 | | | | | | | Patterson-UTI Energy Inc. | | | 393,322 | |
| | 852 | | | | | | | ProFrac Holding Corp., Class A Shares* | | | 5,836 | |
| | 2,995 | | | | | | | ProPetro Holding Corp.* | | | 23,780 | |
| | 585 | | | | | | | Ranger Energy Services Inc., Class A Shares | | | 7,283 | |
| | 3,435 | | | | | | | RPC Inc. | | | 22,053 | |
| | 769 | | | | | | | SEACOR Marine Holdings Inc.* | | | 8,805 | |
| | 2,775 | | | | | | | Seadrill Ltd.* | | | 119,658 | |
| | 3,568 | | | | | | | Select Water Solutions Inc., Class A Shares | | | 41,139 | |
| | 1,342 | | | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 17,017 | |
| | 61,144 | | | | | | | TechnipFMC PLC | | | 1,641,105 | |
| | 143,522 | | | | | | | TETRA Technologies Inc.* | | | 456,400 | |
| | 1,805 | | | | | | | Tidewater Inc.* | | | 160,103 | |
| | 26,792 | | | | | | | Transocean Ltd.* | | | 126,994 | |
| | 2,298 | | | | | | | Valaris Ltd.* | | | 140,316 | |
| | 2,689 | | | | | | | Weatherford International PLC | | | 282,184 | |
| | | | | | | | | | | | |
| | | | | | | | Total Energy Equipment & Services | | | 6,974,795 | |
| | | | | | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 3.4% | |
| | 2,153 | | | | | | | Aemetis Inc.* | | | 5,296 | |
| | 1,554 | | | | | | | Amplify Energy Corp.* | | | 11,080 | |
| | 12,536 | | | | | | | Antero Midstream Corp. | | | 186,410 | |
| | 10,800 | | | | | | | Antero Resources Corp.* | | | 291,492 | |
| | 13,439 | | | | | | | APA Corp. | | | 382,877 | |
| | 1,411 | | | | | | | Ardmore Shipping Corp. | | | 26,640 | |
| | 3,004 | | | | | | | Berry Corp. | | | 18,595 | |
| | 2,492 | | | | | | | California Resources Corp. | | | 130,755 | |
| | 26,425 | | | | | | | Cameco Corp. | | | 1,079,197 | |
| | 509 | | | | | | | Centrus Energy Corp., Class A Shares* | | | 20,156 | |
| | 4,923 | | | | | | | Chesapeake Energy Corp.(a) | | | 366,714 | |
| | 2,305 | | | | | | | Chord Energy Corp. | | | 342,131 | |
| | 3,732 | | | | | | | Civitas Resources Inc. | | | 228,884 | |
| | 6,419 | | | | | | | Clean Energy Fuels Corp.* | | | 19,835 | |
| | 31,914 | | | | | | | CNX Resources Corp.* | | | 883,060 | |
| | 3,476 | | | | | | | Comstock Resources Inc. | | | 36,950 | |
See Notes to Financial Statements.
35
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 4.8% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.4% — (continued) | |
| | 1,089 | | | | | | | CONSOL Energy Inc. | | $ | 111,383 | |
| | 5,945 | | | | | | | Crescent Energy Co., Class A Shares | | | 70,924 | |
| | 1,137 | | | | | | | CVR Energy Inc. | | | 28,903 | |
| | 2,245 | | | | | | | Delek US Holdings Inc. | | | 45,843 | |
| | 23,334 | | | | | | | Devon Energy Corp. | | | 1,044,897 | |
| | 4,730 | | | | | | | DHT Holdings Inc. | | | 51,226 | |
| | 1,690 | | | | | | | Diversified Energy Co. PLC(a) | | | 20,669 | |
| | 1,219 | | | | | | | Dorian LPG Ltd. | | | 47,529 | |
| | 3,568 | | | | | | | DT Midstream Inc. | | | 280,409 | |
| | 558 | | | | | | | Empire Petroleum Corp.* | | | 3,298 | |
| | 6,357 | | | | | | | Encore Energy Corp.* | | | 23,140 | |
| | 5,943 | | | | | | | Energy Fuels Inc.* | | | 29,121 | |
| | 21,967 | | | | | | | EQT Corp. | | | 736,114 | |
| | 1,066 | | | | | | | Evolution Petroleum Corp. | | | 5,490 | |
| | 696 | | | | | | | Excelerate Energy Inc., Class A Shares | | | 12,688 | |
| | 1,152 | | | | | | | FLEX LNG Ltd. | | | 30,712 | |
| | 1,005 | | | | | | | FutureFuel Corp. | | | 6,271 | |
| | 3,634 | | | | | | | Golar LNG Ltd. | | | 120,976 | |
| | 1,949 | | | | | | | Granite Ridge Resources Inc. | | | 12,376 | |
| | 2,112 | | | | | | | Green Plains Inc.* | | | 29,927 | |
| | 480 | | | | | | | Gulfport Energy Corp.* | | | 69,629 | |
| | 818 | | | | | | | Hallador Energy Co.* | | | 5,489 | |
| | 16,385 | | | | | | | HF Sinclair Corp. | | | 805,159 | |
| | 223 | | | | | | | HighPeak Energy Inc. | | | 3,586 | |
| | 1,541 | | | | | | | International Seaways Inc. | | | 79,870 | |
| | 1,396 | | | | | | | Kinetik Holdings Inc., Class A Shares | | | 61,759 | |
| | 17,389 | | | | | | | Kosmos Energy Ltd.* | | | 84,684 | |
| | 46,663 | | | | | | | Magnolia Oil & Gas Corp., Class A Shares | | | 1,195,039 | |
| | 18,521 | | | | | | | Matador Resources Co. | | | 1,050,511 | |
| | 5,414 | | | | | | | Murphy Oil Corp. | | | 201,834 | |
| | 101 | | | | | | | NACCO Industries Inc., Class A Shares | | | 2,816 | |
| | 2,307 | | | | | | | New Fortress Energy Inc., Class A Shares(a) | | | 28,422 | |
| | 4,263 | | | | | | | NextDecade Corp.* | | | 19,866 | |
| | 8,222 | | | | | | | Nordic American Tankers Ltd. | | | 30,586 | |
| | 63,457 | | | | | | | Northern Oil & Gas Inc. | | | 2,524,319 | |
| | 10,057 | | | | | | | Ovintiv Inc. | | | 430,741 | |
| | 1,945 | | | | | | | Par Pacific Holdings Inc.* | | | 43,646 | |
| | 3,817 | | | | | | | PBF Energy Inc., Class A Shares | | | 130,007 | |
| | 4,752 | | | | | | | Peabody Energy Corp. | | | 111,244 | |
| | 23,456 | | | | | | | Permian Resources Corp., Class A Shares | | | 334,013 | |
| | 8,874 | | | | | | | Range Resources Corp. | | | 265,155 | |
| | 618 | | | | | | | REX American Resources Corp.* | | | 28,026 | |
| | 281 | | | | | | | Riley Exploration Permian Inc. | | | 8,009 | |
| | 3,896 | | | | | | | Ring Energy Inc.* | | | 7,208 | |
| | 1,825 | | | | | | | Sable Offshore Corp.*(a) | | | 30,733 | |
| | 1,278 | | | | | | | SandRidge Energy Inc. | | | 16,972 | |
| | 1,706 | | | | | | | Scorpio Tankers Inc. | | | 122,047 | |
| | 4,375 | | | | | | | SFL Corp., Ltd., Class B Shares | | | 51,888 | |
| | 2,878 | | | | | | | Sitio Royalties Corp., Class A Shares | | | 63,978 | |
| | 4,291 | | | | | | | SM Energy Co. | | | 195,798 | |
| | 40,970 | | | | | | | Southwestern Energy Co.* | | | 261,389 | |
| | 5,459 | | | | | | | Talos Energy Inc.* | | | 62,615 | |
| | 1,886 | | | | | | | Teekay Corp.* | | | 15,673 | |
| | 915 | | | | | | | Teekay Tankers Ltd., Class A Shares | | | 52,045 | |
| | 697 | | | | | | | Texas Pacific Land Corp. | | | 605,616 | |
See Notes to Financial Statements.
36
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 4.8% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.4% — (continued) | |
| | 14,211 | | | | | | | Uranium Energy Corp.* | | $ | 74,324 | |
| | 9,887 | | | | | | | Ur-Energy Inc.* | | | 11,568 | |
| | 3,553 | | | | | | | VAALCO Energy Inc. | | | 23,130 | |
| | 3,407 | | | | | | | Viper Energy Inc., Class A Shares | | | 162,173 | |
| | 1,070 | | | | | | | Vital Energy Inc.* | | | 38,402 | |
| | 897 | | | | | | | Vitesse Energy Inc. | | | 23,196 | |
| | 3,524 | | | | | | | W&T Offshore Inc. | | | 8,070 | |
| | 2,141 | | | | | | | World Kinect Corp. | | | 61,639 | |
| | | | | | | | | | | | |
| | | | | | | | Total Oil, Gas & Consumable Fuels | | | 16,144,842 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL ENERGY | | | 23,119,637 | |
| | | | | | | | | | | | |
|
| FINANCIALS — 14.7% | |
|
| Banks — 5.8% | |
| | 662 | | | | | | | 1st Source Corp. | | | 40,677 | |
| | 385 | | | | | | | ACNB Corp. | | | 16,178 | |
| | 570 | | | | | | | Amalgamated Financial Corp. | | | 18,804 | |
| | 1,072 | | | | | | | Amerant Bancorp Inc., Class A Shares | | | 23,648 | |
| | 2,380 | | | | | | | Ameris Bancorp | | | 146,679 | |
| | 326 | | | | | | | Ames National Corp. | | | 6,187 | |
| | 478 | | | | | | | Arrow Financial Corp. | | | 14,574 | |
| | 6,074 | | | | | | | Associated Banc-Corp. | | | 138,973 | |
| | 3,147 | | | | | | | Atlantic Union Bankshares Corp. | | | 124,873 | |
| | 1,958 | | | | | | | Axos Financial Inc.* | | | 135,944 | |
| | 48,156 | | | | | | | Banc of California Inc. | | | 684,778 | |
| | 771 | | | | | | | BancFirst Corp. | | | 82,034 | |
| | 1,523 | | | | | | | Bancorp Inc. (The)* | | | 79,805 | |
| | 343 | | | | | | | Bank First Corp. | | | 32,256 | |
| | 1,399 | | | | | | | Bank of Hawaii Corp. | | | 92,852 | |
| | 722 | | | | | | | Bank of Marin Bancorp | | | 15,444 | |
| | 1,762 | | | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 67,397 | |
| | 4,086 | | | | | | | Bank OZK | | | 177,128 | |
| | 245 | | | | | | | Bank7 Corp. | | | 9,832 | |
| | 28,296 | | | | | | | BankUnited Inc. | | | 1,087,415 | |
| | 327 | | | | | | | Bankwell Financial Group Inc. | | | 9,967 | |
| | 1,152 | | | | | | | Banner Corp. | | | 68,625 | |
| | 692 | | | | | | | Bar Harbor Bankshares | | | 22,186 | |
| | 565 | | | | | | | Baycom Corp. | | | 13,012 | |
| | 599 | | | | | | | BCB Bancorp Inc. | | | 7,434 | |
| | 1,422 | | | | | | | Berkshire Hills Bancorp Inc. | | | 39,162 | |
| | 936 | | | | | | | Blue Foundry Bancorp* | | | 10,362 | |
| | 913 | | | | | | | BOK Financial Corp. | | | 95,819 | |
| | 835 | | | | | | | Bridgewater Bancshares Inc.* | | | 12,041 | |
| | 3,195 | | | | | | | Brookline Bancorp Inc. | | | 32,685 | |
| | 409 | | | | | | | Burke & Herbert Financial Services Corp. | | | 27,092 | |
| | 842 | | | | | | | Business First Bancshares Inc. | | | 20,562 | |
| | 1,289 | | | | | | | Byline Bancorp Inc. | | | 35,770 | |
| | 5,119 | | | | | | | Cadence Bank | | | 165,241 | |
| | 1,007 | | | | | | | California BanCorp* | | | 15,080 | |
| | 653 | | | | | | | Camden National Corp. | | | 26,107 | |
| | 572 | | | | | | | Capital Bancorp Inc. | | | 14,632 | |
| | 553 | | | | | | | Capital City Bank Group Inc. | | | 19,090 | |
| | 5,361 | | | | | | | Capitol Federal Financial Inc. | | | 32,220 | |
| | 965 | | | | | | | Carter Bankshares Inc.* | | | 16,695 | |
| | 2,466 | | | | | | | Cathay General Bancorp | | | 108,479 | |
| | 770 | | | | | | | Central Pacific Financial Corp. | | | 21,183 | |
See Notes to Financial Statements.
37
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Banks — 5.8% — (continued) | |
| | 154 | | | | | | | Chemung Financial Corp. | | $ | 7,189 | |
| | 247 | | | | | | | ChoiceOne Financial Services Inc. | | | 7,694 | |
| | 635 | | | | | | | Citizens & Northern Corp. | | | 12,789 | |
| | 141 | | | | | | | Citizens Financial Services Inc. | | | 8,023 | |
| | 499 | | | | | | | City Holding Co. | | | 59,251 | |
| | 855 | | | | | | | Civista Bancshares Inc. | | | 14,509 | |
| | 817 | | | | | | | CNB Financial Corp. | | | 19,861 | |
| | 417 | | | | | | | Coastal Financial Corp.* | | | 22,380 | |
| | 731 | | | | | | | Colony Bankcorp Inc. | | | 10,972 | |
| | 7,889 | | | | | | | Columbia Banking System Inc. | | | 198,645 | |
| | 1,021 | | | | | | | Columbia Financial Inc.* | | | 18,133 | |
| | 23,436 | | | | | | | Comerica Inc. | | | 1,338,430 | |
| | 4,492 | | | | | | | Commerce Bancshares Inc. | | | 287,308 | |
| | 1,868 | | | | | | | Community Financial System Inc. | | | 114,247 | |
| | 675 | | | | | | | Community Trust Bancorp Inc. | | | 34,087 | |
| | 743 | | | | | | | Community West Bancshares | | | 15,157 | |
| | 1,567 | | | | | | | ConnectOne Bancorp Inc. | | | 39,175 | |
| | 1,541 | | | | | | | CrossFirst Bankshares Inc.* | | | 26,813 | |
| | 2,226 | | | | | | | Cullen/Frost Bankers Inc. | | | 249,824 | |
| | 1,091 | | | | | | | Customers Bancorp Inc.* | | | 56,536 | |
| | 5,019 | | | | | | | CVB Financial Corp. | | | 92,450 | |
| | 1,259 | | | | | | | Dime Community Bancshares Inc. | | | 32,747 | |
| | 919 | | | | | | | Eagle Bancorp Inc. | | | 20,007 | |
| | 5,222 | | | | | | | East West Bancorp Inc. | | | 439,014 | |
| | 7,397 | | | | | | | Eastern Bankshares Inc. | | | 125,527 | |
| | 361 | | | | | | | Enterprise Bancorp Inc. | | | 11,187 | |
| | 1,453 | | | | | | | Enterprise Financial Services Corp. | | | 76,878 | |
| | 448 | | | | | | | Equity Bancshares Inc., Class A Shares | | | 18,274 | |
| | 286 | | | | | | | Esquire Financial Holdings Inc. | | | 17,598 | |
| | 378 | | | | | | | ESSA Bancorp Inc. | | | 6,970 | |
| | 603 | | | | | | | Farmers & Merchants Bancorp Inc. | | | 16,576 | |
| | 1,202 | | | | | | | Farmers National Banc Corp. | | | 18,691 | |
| | 1,413 | | | | | | | FB Financial Corp. | | | 68,135 | |
| | 134 | | | | | | | Fidelity D&D Bancorp Inc. | | | 7,233 | |
| | 794 | | | | | | | Financial Institutions Inc. | | | 20,660 | |
| | 54,313 | | | | | | | First Bancorp | | | 1,190,562 | |
| | 605 | | | | | | | First Bancorp Inc. (The) | | | 16,873 | |
| | 1,235 | | | | | | | First Bancshares Inc. (The) | | | 42,311 | |
| | 727 | | | | | | | First Bank | | | 11,189 | |
| | 2,165 | | | | | | | First Busey Corp. | | | 58,563 | |
| | 371 | | | | | | | First Business Financial Services Inc. | | | 16,832 | |
| | 678 | | | | | | | First Citizens BancShares Inc., Class A Shares | | | 1,376,815 | |
| | 3,858 | | | | | | | First Commonwealth Financial Corp. | | | 66,435 | |
| | 743 | | | | | | | First Community Bancshares Inc. | | | 32,781 | |
| | 3,019 | | | | | | | First Financial Bancorp | | | 79,913 | |
| | 4,864 | | | | | | | First Financial Bankshares Inc. | | | 177,876 | |
| | 501 | | | | | | | First Financial Corp. | | | 22,395 | |
| | 314 | | | | | | | First Financial Northwest Inc. | | | 7,128 | |
| | 1,919 | | | | | | | First Foundation Inc. | | | 13,510 | |
| | 48,504 | | | | | | | First Hawaiian Inc. | | | 1,180,102 | |
| | 20,550 | | | | | | | First Horizon Corp. | | | 340,924 | |
| | 310 | | | | | | | First Internet Bancorp | | | 11,250 | |
| | 3,216 | | | | | | | First Interstate BancSystem Inc., Class A Shares | | | 99,857 | |
| | 2,373 | | | | | | | First Merchants Corp. | | | 92,547 | |
See Notes to Financial Statements.
38
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Banks — 5.8% — (continued) | |
| | 941 | | | | | | | First Mid Bancshares Inc. | | $ | 37,903 | |
| | 1,106 | | | | | | | First of Long Island Corp. (The) | | | 14,124 | |
| | 320 | | | | | | | First Western Financial Inc.* | | | 6,157 | |
| | 479 | | | | | | | Five Star Bancorp | | | 13,963 | |
| | 1,288 | | | | | | | Flushing Financial Corp. | | | 18,805 | |
| | 13,957 | | | | | | | FNB Corp. | | | 209,076 | |
| | 197 | | | | | | | FS Bancorp Inc. | | | 8,635 | |
| | 5,822 | | | | | | | Fulton Financial Corp. | | | 112,656 | |
| | 686 | | | | | | | FVCBankcorp Inc.* | | | 8,458 | |
| | 1,125 | | | | | | | German American Bancorp Inc. | | | 45,124 | |
| | 4,170 | | | | | | | Glacier Bancorp Inc. | | | 197,241 | |
| | 423 | | | | | | | Great Southern Bancorp Inc. | | | 25,194 | |
| | 266 | | | | | | | Greene County Bancorp Inc. | | | 9,068 | |
| | 344 | | | | | | | Guaranty Bancshares Inc. | | | 11,968 | |
| | 3,184 | | | | | | | Hancock Whitney Corp. | | | 171,076 | |
| | 722 | | | | | | | Hanmi Financial Corp. | | | 14,303 | |
| | 1,166 | | | | | | | HarborOne Bancorp Inc. | | | 15,391 | |
| | 538 | | | | | | | HBT Financial Inc. | | | 12,062 | |
| | 1,594 | | | | | | | Heartland Financial USA Inc. | | | 88,881 | |
| | 2,685 | | | | | | | Heritage Commerce Corp. | | | 27,333 | |
| | 843 | | | | | | | Heritage Financial Corp. | | | 19,254 | |
| | 1,861 | | | | | | | Hilltop Holdings Inc. | | | 61,134 | |
| | 56 | | | | | | | Hingham Institution For Savings The | | | 14,390 | |
| | 353 | | | | | | | Home Bancorp Inc. | | | 15,765 | |
| | 7,138 | | | | | | | Home BancShares Inc. | | | 198,722 | |
| | 494 | | | | | | | HomeStreet Inc. | | | 7,904 | |
| | 700 | | | | | | | HomeTrust Bancshares Inc. | | | 25,522 | |
| | 3,457 | | | | | | | Hope Bancorp Inc. | | | 44,215 | |
| | 1,961 | | | | | | | Horizon Bancorp Inc. | | | 31,415 | |
| | 66,424 | | | | | | | Huntington Bancshares Inc. | | | 994,367 | |
| | 2,484 | | | | | | | Independent Bank Corp. | | | 129,804 | |
| | 1,375 | | | | | | | Independent Bank Group Inc. | | | 80,053 | |
| | 2,071 | | | | | | | International Bancshares Corp. | | | 130,846 | |
| | 433 | | | | | | | Investar Holding Corp. | | | 8,062 | |
| | 587 | | | | | | | John Marshall Bancorp Inc. | | | 11,734 | |
| | 2,369 | | | | | | | Kearny Financial Corp. | | | 16,133 | |
| | 924 | | | | | | | Lakeland Financial Corp. | | | 62,971 | |
| | 403 | | | | | | | LCNB Corp. | | | 6,448 | |
| | 1,077 | | | | | | | LINKBANCORP Inc. | | | 6,774 | |
| | 1,277 | | | | | | | Live Oak Bancshares Inc. | | | 54,898 | |
| | 513 | | | | | | | Mercantile Bank Corp. | | | 23,588 | |
| | 734 | | | | | | | Metrocity Bankshares Inc. | | | 22,497 | |
| | 322 | | | | | | | Metropolitan Bank Holding Corp.* | | | 16,651 | |
| | 566 | | | | | | | Mid Penn Bancorp Inc. | | | 17,099 | |
| | 222 | | | | | | | Middlefield Banc Corp. | | | 6,209 | |
| | 719 | | | | | | | Midland States Bancorp Inc. | | | 16,372 | |
| | 706 | | | | | | | MidWestOne Financial Group Inc. | | | 20,629 | |
| | 284 | | | | | | | MVB Financial Corp. | | | 5,964 | |
| | 1,148 | | | | | | | National Bank Holdings Corp., Class A Shares | | | 50,294 | |
| | 191 | | | | | | | National Bankshares Inc. | | | 5,768 | |
| | 1,449 | | | | | | | NB Bancorp Inc.* | | | 27,357 | |
| | 1,477 | | | | | | | NBT Bancorp Inc. | | | 72,314 | |
| | 9,368 | | | | | | | New York Community Bancorp Inc. | | | 101,549 | |
| | 468 | | | | | | | Nicolet Bankshares Inc. | | | 46,004 | |
| | 287 | | | | | | | Northeast Bank | | | 20,380 | |
See Notes to Financial Statements.
39
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Banks — 5.8% — (continued) | |
| | 418 | | | | | | | Northeast Community Bancorp Inc. | | $ | 9,547 | |
| | 1,560 | | | | | | | Northfield Bancorp Inc. | | | 18,907 | |
| | 200 | | | | | | | Northrim BanCorp Inc. | | | 13,794 | |
| | 3,810 | | | | | | | Northwest Bancshares Inc. | | | 52,769 | |
| | 194 | | | | | | | Norwood Financial Corp. | | | 5,285 | |
| | 236 | | | | | | | Oak Valley Bancorp | | | 6,294 | |
| | 2,438 | | | | | | | OceanFirst Financial Corp. | | | 43,567 | |
| | 1,444 | | | | | | | OFG Bancorp | | | 66,410 | |
| | 11,882 | | | | | | | Old National Bancorp | | | 235,858 | |
| | 1,613 | | | | | | | Old Second Bancorp Inc. | | | 27,469 | |
| | 183 | | | | | | | Orange County Bancorp Inc. | | | 10,513 | |
| | 1,136 | | | | | | | Origin Bancorp Inc. | | | 38,022 | |
| | 715 | | | | | | | Orrstown Financial Services Inc. | | | 25,597 | |
| | 3,221 | | | | | | | Pacific Premier Bancorp Inc. | | | 82,780 | |
| | 562 | | | | | | | Park National Corp. | | | 98,794 | |
| | 507 | | | | | | | Parke Bancorp Inc. | | | 10,393 | |
| | 914 | | | | | | | Pathward Financial Inc. | | | 62,901 | |
| | 540 | | | | | | | PCB Bancorp | | | 10,400 | |
| | 465 | | | | | | | Peapack Gladstone Financial Corp. | | | 13,280 | |
| | 1,437 | | | | | | | Peoples Bancorp Inc. | | | 45,984 | |
| | 222 | | | | | | | Peoples Bancorp of North Carolina Inc. | | | 6,462 | |
| | 386 | | | | | | | Peoples Financial Services Corp. | | | 18,377 | |
| | 2,818 | | | | | | | Pinnacle Financial Partners Inc. | | | 280,588 | |
| | 545 | | | | | | | Pioneer Bancorp Inc.* | | | 5,995 | |
| | 161 | | | | | | | Plumas Bancorp | | | 6,567 | |
| | 668 | | | | | | | Ponce Financial Group Inc.* | | | 7,575 | |
| | 2,725 | | | | | | | Popular Inc. | | | 279,313 | |
| | 386 | | | | | | | Preferred Bank | | | 31,980 | |
| | 1,513 | | | | | | | Premier Financial Corp. | | | 37,916 | |
| | 950 | | | | | | | Primis Financial Corp. | | | 11,543 | |
| | 209 | | | | | | | Princeton Bancorp Inc. | | | 7,783 | |
| | 3,417 | | | | | | | Prosperity Bancshares Inc. | | | 251,423 | |
| | 668 | | | | | | | Provident Bancorp Inc.* | | | 7,368 | |
| | 4,359 | | | | | | | Provident Financial Services Inc. | | | 83,126 | |
| | 640 | | | | | | | QCR Holdings Inc. | | | 49,363 | |
| | 663 | | | | | | | RBB Bancorp | | | 15,222 | |
| | 182 | | | | | | | Red River Bancshares Inc. | | | 9,666 | |
| | 2,030 | | | | | | | Renasant Corp. | | | 71,050 | |
| | 341 | | | | | | | Republic Bancorp Inc., Class A Shares | | | 21,790 | |
| | 1,103 | | | | | | | S&T Bancorp Inc. | | | 47,396 | |
| | 1,801 | | | | | | | Sandy Spring Bancorp Inc. | | | 56,371 | |
| | 2,935 | | | | | | | Seacoast Banking Corp. of Florida | | | 80,302 | |
| | 1,891 | | | | | | | ServisFirst Bancshares Inc. | | | 153,284 | |
| | 1,226 | | | | | | | Shore Bancshares Inc. | | | 17,409 | |
| | 690 | | | | | | | Sierra Bancorp | | | 20,790 | |
| | 4,272 | | | | | | | Simmons First National Corp., Class A Shares | | | 91,506 | |
| | 655 | | | | | | | SmartFinancial Inc. | | | 19,146 | |
| | 410 | | | | | | | South Plains Financial Inc. | | | 14,313 | |
| | 313 | | | | | | | Southern First Bancshares Inc.* | | | 10,166 | |
| | 327 | | | | | | | Southern Missouri Bancorp Inc. | | | 18,910 | |
| | 275 | | | | | | | Southern States Bancshares Inc. | | | 8,586 | |
| | 906 | | | | | | | Southside Bancshares Inc. | | | 31,012 | |
| | 2,876 | | | | | | | SouthState Corp. | | | 279,231 | |
| | 1,786 | | | | | | | Stellar Bancorp Inc. | | | 48,704 | |
See Notes to Financial Statements.
40
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Banks — 5.8% — (continued) | |
| | 1,036 | | | | | | | Sterling Bancorp Inc.* | | $ | 5,998 | |
| | 938 | | | | | | | Stock Yards Bancorp Inc. | | | 56,843 | |
| | 5,583 | | | | | | | Synovus Financial Corp. | | | 257,488 | |
| | 29,306 | | | | | | | Texas Capital Bancshares Inc.* | | | 1,969,949 | |
| | 2,041 | | | | | | | TFS Financial Corp. | | | 27,717 | |
| | 458 | | | | | | | Third Coast Bancshares Inc.* | | | 11,729 | |
| | 237 | | | | | | | Timberland Bancorp Inc. | | | 7,402 | |
| | 410 | | | | | | | Tompkins Financial Corp. | | | 25,149 | |
| | 2,852 | | | | | | | Towne Bank | | | 98,822 | |
| | 1,235 | | | | | | | TriCo Bancshares | | | 56,143 | |
| | 839 | | | | | | | Triumph Financial Inc.* | | | 70,459 | |
| | 651 | | | | | | | TrustCo Bank Corp. NY | | | 22,681 | |
| | 2,206 | | | | | | | Trustmark Corp. | | | 73,482 | |
| | 1,702 | | | | | | | UMB Financial Corp. | | | 176,310 | |
| | 4,876 | | | | | | | United Bankshares Inc. | | | 189,530 | |
| | 4,048 | | | | | | | United Community Banks Inc. | | | 123,343 | |
| | 385 | | | | | | | Unity Bancorp Inc. | | | 13,063 | |
| | 1,189 | | | | | | | Univest Financial Corp. | | | 33,839 | |
| | 346 | | | | | | | USCB Financial Holdings Inc. | | | 5,166 | |
| | 15,620 | | | | | | | Valley National Bancorp | | | 135,582 | |
| | 1,815 | | | | | | | Veritex Holdings Inc. | | | 45,720 | |
| | 198 | | | | | | | Virginia National Bankshares Corp. | | | 7,865 | |
| | 2,765 | | | | | | | WaFd Inc. | | | 101,393 | |
| | 784 | | | | | | | Washington Trust Bancorp Inc. | | | 25,715 | |
| | 25,623 | | | | | | | Webster Financial Corp. | | | 1,215,299 | |
| | 2,314 | | | | | | | WesBanco Inc. | | | 74,534 | |
| | 761 | | | | | | | West BanCorp Inc. | | | 15,182 | |
| | 757 | | | | | | | Westamerica BanCorp | | | 39,205 | |
| | 11,770 | | | | | | | Western Alliance Bancorp | | | 961,374 | |
| | 17,933 | | | | | | | Wintrust Financial Corp. | | | 1,951,110 | |
| | 2,057 | | | | | | | WSFS Financial Corp. | | | 112,600 | |
| | 25,289 | | | | | | | Zions Bancorp NA | | | 1,253,323 | |
| | | | | | | | | | | | |
| | | | | | | | Total Banks | | | 27,723,071 | |
| | | | | | | | | | | | |
|
| Capital Markets — 2.1% | |
| | 1,221 | | | | | | | Affiliated Managers Group Inc. | | | 212,246 | |
| | 764 | | | | | | | AlTi Global Inc.* | | | 3,071 | |
| | 2,179 | | | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 90,625 | |
| | 960 | | | | | | | Assetmark Financial Holdings Inc.* | | | 33,744 | |
| | 929 | | | | | | | B. Riley Financial Inc. | | | 4,566 | |
| | 12,772 | | | | | | | BGC Group Inc., Class A Shares | | | 126,187 | |
| | 1,257 | | | | | | | Brightsphere Investment Group Inc. | | | 30,658 | |
| | 8,223 | | | | | | | Carlyle Group Inc. (The) | | | 329,989 | |
| | 4,661 | | | | | | | Cboe Global Markets Inc. | | | 957,369 | |
| | 1,025 | | | | | | | Cohen & Steers Inc. | | | 91,594 | |
| | 116 | | | | | | | Diamond Hill Investment Group Inc. | | | 18,331 | |
| | 969 | | | | | | | Donnelley Financial Solutions Inc.* | | | 64,594 | |
| | 1,334 | | | | | | | Evercore Inc., Class A Shares | | | 327,817 | |
| | 1,417 | | | | | | | FactSet Research Systems Inc. | | | 599,164 | |
| | 3,523 | | | | | | | Forge Global Holdings Inc.* | | | 4,932 | |
| | 1,524 | | | | | | | GCM Grosvenor Inc., Class A Shares | | | 16,596 | |
| | 1,417 | | | | | | | Hamilton Lane Inc., Class A Shares | | | 216,574 | |
| | 1,925 | | | | | | | Houlihan Lokey Inc., Class A Shares | | | 301,494 | |
| | 72,325 | | | | | | | Invesco Ltd. | | | 1,236,034 | |
| | 4,894 | | | | | | | Janus Henderson Group PLC | | | 184,063 | |
See Notes to Financial Statements.
41
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Capital Markets — 2.1% — (continued) | |
| | 6,804 | | | | | | | Jefferies Financial Group Inc. | | $ | 407,900 | |
| | 4,143 | | | | | | | Lazard Inc., Class A Shares | | | 207,606 | |
| | 1,369 | | | | | | | MarketAxess Holdings Inc. | | | 331,832 | |
| | 1,956 | | | | | | | MarketWise Inc. | | | 1,547 | |
| | 9,063 | | | | | | | Moelis & Co., Class A Shares | | | 605,318 | |
| | 991 | | | | | | | Morningstar Inc. | | | 310,946 | |
| | 3,688 | | | | | | | Open Lending Corp.* | | | 21,243 | |
| | 1,354 | | | | | | | P10 Inc., Class A Shares | | | 13,608 | |
| | 1,848 | | | | | | | Patria Investments Ltd., Class A Shares | | | 21,289 | |
| | 2,016 | | | | | | | Perella Weinberg Partners, Class A Shares | | | 39,413 | |
| | 653 | | | | | | | Piper Sandler Cos. | | | 178,073 | |
| | 853 | | | | | | | PJT Partners Inc., Class A Shares | | | 105,346 | |
| | 24,700 | | | | | | | Robinhood Markets Inc., Class A Shares* | | | 496,964 | |
| | 3,757 | | | | | | | SEI Investments Co. | | | 254,086 | |
| | 575 | | | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 9,315 | |
| | 1,954 | | | | | | | StepStone Group Inc., Class A Shares | | | 106,884 | |
| | 14,871 | | | | | | | Stifel Financial Corp. | | | 1,310,730 | |
| | 1,038 | | | | | | | StoneX Group Inc.* | | | 86,009 | |
| | 3,198 | | | | | | | TPG Inc., Class A Shares | | | 161,339 | |
| | 1,566 | | | | | | | Victory Capital Holdings Inc., Class A Shares | | | 85,457 | |
| | 3,075 | | | | | | | Virtu Financial Inc., Class A Shares | | | 94,433 | |
| | 270 | | | | | | | Virtus Investment Partners Inc. | | | 57,148 | |
| | 4,940 | | | | | | | WisdomTree Inc. | | | 50,092 | |
| | 15,220 | | | | | | | XP Inc., Class A Shares | | | 280,200 | |
| | | | | | | | | | | | |
| | | | | | | | Total Capital Markets | | | 10,086,426 | |
| | | | | | | | | | | | |
|
| Consumer Finance — 0.5% | |
| | 10,204 | | | | | | | Ally Financial Inc. | | | 440,711 | |
| | 163 | | | | | | | Atlanticus Holdings Corp.* | | | 5,762 | |
| | 8,104 | | | | | | | Bread Financial Holdings Inc. | | | 471,410 | |
| | 201 | | | | | | | Consumer Portfolio Services Inc.* | | | 1,658 | |
| | 225 | | | | | | | Credit Acceptance Corp.* | | | 104,969 | |
| | 888 | | | | | | | Encore Capital Group Inc.* | | | 44,471 | |
| | 972 | | | | | | | Enova International Inc.* | | | 83,330 | |
| | 1,450 | | | | | | | FirstCash Holdings Inc. | | | 174,130 | |
| | 1,554 | | | | | | | Green Dot Corp., Class A Shares* | | | 17,358 | |
| | 3,916 | | | | | | | LendingClub Corp.* | | | 47,579 | |
| | 456 | | | | | | | LendingTree Inc.* | | | 26,416 | |
| | 944 | | | | | | | Medallion Financial Corp. | | | 7,628 | |
| | 316 | | | | | | | Moneylion Inc.* | | | 14,669 | |
| | 2,925 | | | | | | | Navient Corp. | | | 49,520 | |
| | 566 | | | | | | | Nelnet Inc., Class A Shares | | | 65,418 | |
| | 1,620 | | | | | | | NerdWallet Inc., Class A Shares* | | | 20,947 | |
| | 4,316 | | | | | | | OneMain Holdings Inc., Class A Shares | | | 213,254 | |
| | 1,917 | | | | | | | OppFi Inc. | | | 9,144 | |
| | 1,477 | | | | | | | PRA Group Inc.* | | | 34,444 | |
| | 1,672 | | | | | | | PROG Holdings Inc. | | | 78,183 | |
| | 276 | | | | | | | Regional Management Corp. | | | 9,254 | |
| | 7,942 | | | | | | | SLM Corp. | | | 175,200 | |
| | 38,270 | | | | | | | SoFi Technologies Inc.* | | | 305,777 | |
| | 2,908 | | | | | | | Upstart Holdings Inc.* | | | 123,590 | |
| | 162 | | | | | | | World Acceptance Corp.* | | | 19,092 | |
| | | | | | | | | | | | |
| | | | | | | | Total Consumer Finance | | | 2,543,914 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
42
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Financial Services — 2.5% | |
| | 1,324 | | | | | | | Acacia Research Corp.* | | $ | 6,368 | |
| | 8,470 | | | | | | | Affirm Holdings Inc., Class A Shares* | | | 372,765 | |
| | 766 | | | | | | | Alerus Financial Corp. | | | 17,197 | |
| | 6,449 | | | | | | | AvidXchange Holdings Inc.* | | | 52,043 | |
| | 1,063 | | | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 33,325 | |
| | 7,408 | | | | | | | Burford Capital Ltd. | | | 100,082 | |
| | 11,676 | | | | | | | Cannae Holdings Inc. | | | 233,754 | |
| | 2,077 | | | | | | | Cantaloupe Inc.* | | | 14,373 | |
| | 515 | | | | | | | Cass Information Systems Inc. | | | 22,372 | |
| | 2,566 | | | | | | | Compass Diversified Holdings | | | 56,837 | |
| | 1,107 | | | | | | | Enact Holdings Inc. | | | 39,354 | |
| | 12,141 | | | | | | | Equitable Holdings Inc. | | | 516,235 | |
| | 3,775 | | | | | | | Essent Group Ltd. | | | 242,695 | |
| | 1,578 | | | | | | | Euronet Worldwide Inc.* | | | 170,282 | |
| | 2,280 | | | | | | | EVERTEC Inc. | | | 78,090 | |
| | 353 | | | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 69,707 | |
| | 72,519 | | | | | | | Flywire Corp.* | | | 1,313,319 | |
| | 4,151 | | | | | | | HA Sustainable Infrastructure Capital Inc. | | | 134,409 | |
| | 964 | | | | | | | I3 Verticals Inc., Class A Shares* | | | 21,844 | |
| | 1,060 | | | | | | | International Money Express Inc.* | | | 19,239 | |
| | 2,696 | | | | | | | Jack Henry & Associates Inc. | | | 466,489 | |
| | 2,757 | | | | | | | Jackson Financial Inc., Class A Shares | | | 248,047 | |
| | 105,540 | | | | | | | Marqeta Inc., Class A Shares* | | | 562,528 | |
| | 586 | | | | | | | Merchants Bancorp | | | 26,868 | |
| | 10,048 | | | | | | | MGIC Investment Corp. | | | 255,521 | |
| | 2,405 | | | | | | | Mr Cooper Group Inc.* | | | 225,613 | |
| | 36,231 | | | | | | | NCR Atleos Corp.* | | | 1,036,569 | |
| | 808 | | | | | | | NewtekOne Inc. | | | 10,124 | |
| | 3,043 | | | | | | | NMI Holdings Inc., Class A Shares* | | | 124,976 | |
| | 214 | | | | | | | Onity Group Inc.* | | | 6,202 | |
| | 7,109 | | | | | | | Pagseguro Digital Ltd., Class A Shares* | | | 78,697 | |
| | 9,200 | | | | | | | Payoneer Global Inc.* | | | 68,356 | |
| | 1,252 | | | | | | | Paysafe Ltd.* | | | 28,045 | |
| | 957 | | | | | | | Paysign Inc.* | | | 4,536 | |
| | 989 | | | | | | | PennyMac Financial Services Inc. | | | 106,812 | |
| | 482 | | | | | | | Priority Technology Holdings Inc.* | | | 2,892 | |
| | 5,666 | | | | | | | Radian Group Inc. | | | 204,826 | |
| | 5,401 | | | | | | | Remitly Global Inc.* | | | 73,724 | |
| | 3,464 | | | | | | | Repay Holdings Corp., Class A Shares* | | | 29,305 | |
| | 85 | | | | | | | Sezzle Inc.* | | | 11,580 | |
| | 20,296 | | | | | | | Shift4 Payments Inc., Class A Shares* | | | 1,686,598 | |
| | 10,412 | | | | | | | StoneCo Ltd., Class A Shares* | | | 138,063 | |
| | 16,507 | | | | | | | Toast Inc., Class A Shares* | | | 410,364 | |
| | 3,296 | | | | | | | UWM Holdings Corp. | | | 30,982 | |
| | 342 | | | | | | | Velocity Financial Inc.* | | | 6,419 | |
| | 3,810 | | | | | | | Voya Financial Inc. | | | 269,862 | |
| | 10,359 | | | | | | | Walker & Dunlop Inc. | | | 1,109,035 | |
| | 429 | | | | | | | Waterstone Financial Inc. | | | 6,499 | |
| | 11,051 | | | | | | | Western Union Co. (The) | | | 134,822 | |
| | 5,062 | | | | | | | WEX Inc.* | | | 966,943 | |
| | | | | | | | | | | | |
| | | | | | | | Total Financial Services | | | 11,845,587 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
43
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Insurance — 3.4% | |
| | 1,747 | | | | | | | Ambac Financial Group Inc.* | | $ | 20,440 | |
| | 725 | | | | | | | American Coastal Insurance Corp.* | | | 8,142 | |
| | 10,157 | | | | | | | American Financial Group Inc. | | | 1,357,178 | |
| | 749 | | | | | | | AMERISAFE Inc. | | | 37,540 | |
| | 1,992 | | | | | | | Assurant Inc. | | | 391,129 | |
| | 2,065 | | | | | | | Assured Guaranty Ltd. | | | 165,365 | |
| | 3,337 | | | | | | | Axis Capital Holdings Ltd. | | | 266,560 | |
| | 24,480 | | | | | | | Baldwin Insurance Group Inc. (The), Class A Shares* | | | 1,147,867 | |
| | 2,844 | | | | | | | Brighthouse Financial Inc.* | | | 130,540 | |
| | 4,730 | | | | | | | CNO Financial Group Inc. | | | 165,172 | |
| | 698 | | | | | | | Crawford & Co., Class A Shares | | | 7,378 | |
| | 558 | | | | | | | Donegal Group Inc., Class A Shares | | | 8,493 | |
| | 812 | | | | | | | Employers Holdings Inc. | | | 38,935 | |
| | 475 | | | | | | | Enstar Group Ltd.* | | | 154,850 | |
| | 1,620 | | | | | | | Everest Group Ltd. | | | 635,429 | |
| | 752 | | | | | | | F&G Annuities & Life Inc. | | | 34,359 | |
| | 1,872 | | | | | | | Fidelis Insurance Holdings Ltd. | | | 34,669 | |
| | 3,785 | | | | | | | First American Financial Corp. | | | 241,483 | |
| | 13,532 | | | | | | | Genworth Financial Inc., Class A Shares* | | | 94,453 | |
| | 3,551 | | | | | | | Globe Life Inc. | | | 373,033 | |
| | 324 | | | | | | | GoHealth Inc., Class A Shares* | | | 2,741 | |
| | 925 | | | | | | | Goosehead Insurance Inc., Class A Shares* | | | 78,015 | |
| | 1,274 | | | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 17,798 | |
| | 721 | | | | | | | Hamilton Insurance Group Ltd., Class B Shares* | | | 14,117 | |
| | 6,775 | | | | | | | Hanover Insurance Group Inc. (The) | | | 995,857 | |
| | 327 | | | | | | | HCI Group Inc. | | | 31,336 | |
| | 946 | | | | | | | Heritage Insurance Holdings Inc.* | | | 15,259 | |
| | 757 | | | | | | | Hippo Holdings Inc.* | | | 15,026 | |
| | 1,213 | | | | | | | Horace Mann Educators Corp. | | | 43,195 | |
| | 51 | | | | | | | Investors Title Co. | | | 11,490 | |
| | 984 | | | | | | | James River Group Holdings Ltd. | | | 7,282 | |
| | 31,169 | | | | | | | Kemper Corp. | | | 1,948,374 | |
| | 681 | | | | | | | Kingsway Financial Services Inc.* | | | 5,645 | |
| | 2,479 | | | | | | | Kinsale Capital Group Inc. | | | 1,217,412 | |
| | 1,963 | | | | | | | Lemonade Inc.* | | | 36,374 | |
| | 6,224 | | | | | | | Lincoln National Corp. | | | 199,790 | |
| | 3,230 | | | | | | | Maiden Holdings Ltd.* | | | 5,749 | |
| | 1,651 | | | | | | | MBIA Inc.* | | | 6,472 | |
| | 956 | | | | | | | Mercury General Corp. | | | 63,316 | |
| | 380 | | | | | | | NI Holdings Inc.* | | | 5,905 | |
| | 9,639 | | | | | | | Old Republic International Corp. | | | 345,751 | |
| | 47,960 | | | | | | | Oscar Health Inc., Class A Shares* | | | 877,668 | |
| | 10,213 | | | | | | | Palomar Holdings Inc.* | | | 1,013,334 | |
| | 4,931 | | | | | | | Primerica Inc. | | | 1,297,987 | |
| | 1,532 | | | | | | | ProAssurance Corp.* | | | 20,529 | |
| | 2,504 | | | | | | | Reinsurance Group of America Inc., Class A Shares | | | 552,783 | |
| | 1,927 | | | | | | | RenaissanceRe Holdings Ltd. | | | 490,980 | |
| | 1,575 | | | | | | | RLI Corp. | | | 242,708 | |
| | 329 | | | | | | | Root Inc., Class A Shares* | | | 14,265 | |
| | 3,851 | | | | | | | Ryan Specialty Holdings Inc., Class A Shares | | | 248,890 | |
| | 412 | | | | | | | Safety Insurance Group Inc. | | | 36,483 | |
| | 2,294 | | | | | | | Selective Insurance Group Inc. | | | 208,708 | |
| | 6,025 | | | | | | | Selectquote Inc.* | | | 24,582 | |
| | 3,821 | | | | | | | SiriusPoint Ltd.* | | | 57,277 | |
See Notes to Financial Statements.
44
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 14.7% — (continued) | |
|
| Insurance — 3.4% — (continued) | |
| | 1,425 | | | | | | | Skyward Specialty Insurance Group Inc.* | | $ | 58,240 | |
| | 875 | | | | | | | Stewart Information Services Corp. | | | 64,671 | |
| | 773 | | | | | | | Tiptree Inc. | | | 15,329 | |
| | 1,453 | | | | | | | Trupanion Inc.*(a) | | | 66,446 | |
| | 896 | | | | | | | United Fire Group Inc. | | | 18,341 | |
| | 1,053 | | | | | | | Universal Insurance Holdings Inc. | | | 22,524 | |
| | 6,616 | | | | | | | Unum Group | | | 367,122 | |
| | 92 | | | | | | | White Mountains Insurance Group Ltd. | | | 169,670 | |
| | | | | | | | | | | | |
| | | | | | | | Total Insurance | | | 16,248,456 | |
| | | | | | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.4% | |
| | 773 | | | | | | | AFC Gamma Inc. | | | 8,086 | |
| | 958 | | | | | | | AG Mortgage Investment Trust Inc. | | | 7,127 | |
| | 25,798 | | | | | | | AGNC Investment Corp. | | | 263,398 | |
| | 286 | | | | | | | Angel Oak Mortgage REIT Inc. | | | 3,232 | |
| | 18,827 | | | | | | | Annaly Capital Management Inc. | | | 379,552 | |
| | 5,283 | | | | | | | Apollo Commercial Real Estate Finance Inc. | | | 55,947 | |
| | 5,912 | | | | | | | Arbor Realty Trust Inc.(a) | | | 80,403 | |
| | 1,995 | | | | | | | Ares Commercial Real Estate Corp. | | | 14,085 | |
| | 1,853 | | | | | | | ARMOUR Residential REIT Inc. | | | 37,894 | |
| | 6,475 | | | | | | | Blackstone Mortgage Trust Inc., Class A Shares(a) | | | 119,528 | |
| | 4,825 | | | | | | | BrightSpire Capital Inc., Class A Shares | | | 28,709 | |
| | 806 | | | | | | | Chicago Atlantic Real Estate Finance Inc. | | | 12,815 | |
| | 2,963 | | | | | | | Chimera Investment Corp. | | | 45,867 | |
| | 3,564 | | | | | | | Claros Mortgage Trust Inc. | | | 28,512 | |
| | 2,026 | | | | | | | Dynex Capital Inc. | | | 25,528 | |
| | 2,959 | | | | | | | Ellington Financial Inc. | | | 38,911 | |
| | 3,014 | | | | | | | Franklin BSP Realty Trust Inc. | | | 41,051 | |
| | 1,891 | | | | | | | Granite Point Mortgage Trust Inc. | | | 4,973 | |
| | 1,747 | | | | | | | Invesco Mortgage Capital Inc. | | | 15,321 | |
| | 2,316 | | | | | | | KKR Real Estate Finance Trust Inc. | | | 27,630 | |
| | 4,146 | | | | | | | Ladder Capital Corp., Class A Shares | | | 51,245 | |
| | 3,899 | | | | | | | MFA Financial Inc. | | | 48,815 | |
| | 3,073 | | | | | | | New York Mortgage Trust Inc. | | | 20,497 | |
| | 510 | | | | | | | Nexpoint Real Estate Finance Inc. | | | 8,481 | |
| | 1,831 | | | | | | | Orchid Island Capital Inc. | | | 15,014 | |
| | 3,378 | | | | | | | PennyMac Mortgage Investment Trust | | | 48,001 | |
| | 5,631 | | | | | | | Ready Capital Corp. | | | 46,681 | |
| | 4,454 | | | | | | | Redwood Trust Inc. | | | 33,717 | |
| | 18,337 | | | | | | | Rithm Capital Corp. | | | 218,944 | |
| | 562 | | | | | | | Seven Hills Realty Trust | | | 7,795 | |
| | 11,095 | | | | | | | Starwood Property Trust Inc. | | | 231,220 | |
| | 257 | | | | | | | Sunrise Realty Trust Inc.* | | | 3,621 | |
| | 2,163 | | | | | | | TPG RE Finance Trust Inc. | | | 19,597 | |
| | 3,936 | | | | | | | Two Harbors Investment Corp. | | | 55,734 | |
| | | | | | | | | | | | |
| | | | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,047,931 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL FINANCIALS | | | 70,495,385 | |
| | | | | | | | | | | | |
|
| HEALTH CARE — 14.1% | |
|
| Biotechnology — 5.5% | |
| | 1,894 | | | | | | | 2seventy bio Inc.* | | | 9,224 | |
| | 1,849 | | | | | | | 4D Molecular Therapeutics Inc.* | | | 27,753 | |
| | 79,470 | | | | | | | 89bio Inc.* | | | 754,965 | |
| | 3,015 | | | | | | | Absci Corp.* | | | 13,266 | |
| | 4,243 | | | | | | | ACADIA Pharmaceuticals Inc.* | | | 70,349 | |
See Notes to Financial Statements.
45
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Biotechnology — 5.5% — (continued) | |
| | 2,953 | | | | | | | ACELYRIN Inc.* | | $ | 14,115 | |
| | 1,392 | | | | | | | Achieve Life Sciences Inc.* | | | 6,111 | |
| | 468 | | | | | | | Acrivon Therapeutics Inc.* | | | 4,441 | |
| | 874 | | | | | | | Actinium Pharmaceuticals Inc.* | | | 1,739 | |
| | 3,019 | | | | | | | Acumen Pharmaceuticals Inc.* | | | 8,272 | |
| | 2,666 | | | | | | | ADC Therapeutics SA* | | | 7,731 | |
| | 8,558 | | | | | | | ADMA Biologics Inc.* | | | 148,139 | |
| | 870 | | | | | | | Aduro Biotech Holdings Europe BV*(b)(f) | | | 418 | |
| | 935 | | | | | | | Adverum Biotechnologies Inc.* | | | 6,489 | |
| | 381 | | | | | | | Aerovate Therapeutics Inc.* | | | 735 | |
| | 640 | | | | | | | Agenus Inc.* | | | 3,296 | |
| | 2,066 | | | | | | | Agios Pharmaceuticals Inc.* | | | 94,850 | |
| | 2,551 | | | | | | | Akero Therapeutics Inc.* | | | 69,387 | |
| | 1,677 | | | | | | | Aldeyra Therapeutics Inc.* | | | 9,651 | |
| | 2,467 | | | | | | | Alector Inc.* | | | 13,026 | |
| | 14,602 | | | | | | | Alkermes PLC* | | | 415,427 | |
| | 2,646 | | | | | | | Allogene Therapeutics Inc.* | | | 6,959 | |
| | 2,143 | | | | | | | Altimmune Inc.* | | | 14,358 | |
| | 1,119 | | | | | | | ALX Oncology Holdings Inc.* | | | 2,596 | |
| | 10,905 | | | | | | | Amicus Therapeutics Inc.* | | | 126,607 | |
| | 711 | | | | | | | AnaptysBio Inc.* | | | 27,082 | |
| | 2,611 | | | | | | | Anavex Life Sciences Corp.*(a) | | | 15,718 | |
| | 530 | | | | | | | Anika Therapeutics Inc.* | | | 13,621 | |
| | 2,987 | | | | | | | Annexon Inc.* | | | 17,026 | |
| | 3,883 | | | | | | | Apellis Pharmaceuticals Inc.* | | | 151,049 | |
| | 1,309 | | | | | | | Apogee Therapeutics Inc.* | | | 66,982 | |
| | 3,561 | | | | | | | Applied Therapeutics Inc.* | | | 22,577 | |
| | 5,603 | | | | | | | Arbutus Biopharma Corp.* | | | 21,684 | |
| | 1,598 | | | | | | | Arcellx Inc.* | | | 109,847 | |
| | 772 | | | | | | | Arcturus Therapeutics Holdings Inc.* | | | 16,289 | |
| | 1,962 | | | | | | | Arcus Biosciences Inc.* | | | 33,589 | |
| | 3,928 | | | | | | | Arcutis Biotherapeutics Inc.* | | | 42,737 | |
| | 9,005 | | | | | | | Ardelyx Inc.* | | | 55,651 | |
| | 440 | | | | | | | ArriVent Biopharma Inc.* | | | 11,761 | |
| | 4,409 | | | | | | | Arrowhead Pharmaceuticals Inc.* | | | 105,066 | |
| | 1,851 | | | | | | | ARS Pharmaceuticals Inc.* | | | 24,026 | |
| | 26,400 | | | | | | | Ascendis Pharma AS, ADR* | | | 3,655,080 | |
| | 1,743 | | | | | | | Astria Therapeutics Inc.* | | | 21,317 | |
| | 6,272 | | | | | | | Atossa Therapeutics Inc.* | | | 8,593 | |
| | 1,893 | | | | | | | Aura Biosciences Inc.* | | | 15,049 | |
| | 5,472 | | | | | | | Aurinia Pharmaceuticals Inc.* | | | 37,264 | |
| | 2,130 | | | | | | | Avid Bioservices Inc.* | | | 22,450 | |
| | 3,989 | | | | | | | Avidity Biosciences Inc.* | | | 175,516 | |
| | 894 | | | | | | | Avita Medical Inc.* | | | 8,368 | |
| | 2,905 | | | | | | | Beam Therapeutics Inc.* | | | 77,505 | |
| | 44,330 | | | | | | | Bicycle Therapeutics PLC, ADR* | | | 953,095 | |
| | 7,114 | | | | | | | BioCryst Pharmaceuticals Inc.* | | | 61,821 | |
| | 2,784 | | | | | | | Biohaven Ltd.* | | | 109,690 | |
| | 719 | | | | | | | Biomea Fusion Inc.* | | | 5,270 | |
| | 1,377 | | | | | | | Black Diamond Therapeutics Inc.* | | | 8,400 | |
| | 4,643 | | | | | | | Bluebird Bio Inc.* | | | 2,607 | |
| | 2,325 | | | | | | | Blueprint Medicines Corp.* | | | 222,130 | |
| | 5,198 | | | | | | | Bridgebio Pharma Inc.* | | | 144,764 | |
| | 2,178 | | | | | | | C4 Therapeutics Inc.* | | | 13,765 | |
| | 1,296 | | | | | | | Cabaletta Bio Inc.* | | | 7,296 | |
See Notes to Financial Statements.
46
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Biotechnology — 5.5% — (continued) | |
| | 1,392 | | | | | | | Capricor Therapeutics Inc.* | | $ | 6,361 | |
| | 2,859 | | | | | | | Cardiff Oncology Inc.* | | | 6,604 | |
| | 2,063 | | | | | | | CareDx Inc.* | | | 63,396 | |
| | 873 | | | | | | | Cargo Therapeutics Inc.* | | | 16,465 | |
| | 3,156 | | | | | | | Caribou Biosciences Inc.* | | | 6,817 | |
| | 165 | | | | | | | Cartesian Therapeutics Inc.* | | | 2,303 | |
| | 4,327 | | | | | | | Catalyst Pharmaceuticals Inc.* | | | 87,622 | |
| | 938 | | | | | | | Celcuity Inc.* | | | 14,970 | |
| | 2,392 | | | | | | | Celldex Therapeutics Inc.* | | | 98,861 | |
| | 1,003 | | | | | | | Century Therapeutics Inc.* | | | 1,765 | |
| | 323 | | | | | | | CervoMed Inc.*(a) | | | 6,014 | |
| | 941 | | | | | | | CG oncology Inc.* | | | 34,704 | |
| | 718 | | | | | | | Cibus Inc., Class A Shares* | | | 4,861 | |
| | 3,506 | | | | | | | Cogent Biosciences Inc.* | | | 37,654 | |
| | 3,207 | | | | | | | Coherus Biosciences Inc.* | | | 4,458 | |
| | 3,100 | | | | | | | Compass Therapeutics Inc.* | | | 4,898 | |
| | 1,253 | | | | | | | Contra Inhibrx Inc.*(b)(f) | | | 1,353 | |
| | 382 | | | | | | | Corbus Pharmaceuticals Holdings Inc.* | | | 23,371 | |
| | 2,878 | | | | | | | Crinetics Pharmaceuticals Inc.* | | | 152,707 | |
| | 1,447 | | | | | | | Cullinan Therapeutics Inc.* | | | 28,361 | |
| | 19,476 | | | | | | | Cytokinetics Inc.* | | | 1,111,690 | |
| | 1,843 | | | | | | | Day One Biopharmaceuticals Inc.* | | | 25,507 | |
| | 4,589 | | | | | | | Denali Therapeutics Inc.* | | | 112,155 | |
| | 1,220 | | | | | | | Design Therapeutics Inc.* | | | 5,795 | |
| | 884 | | | | | | | Dianthus Therapeutics Inc.* | | | 25,486 | |
| | 608 | | | | | | | Discount Medicine Inc., Class A Shares* | | | 30,899 | |
| | 5,009 | | | | | | | Dynavax Technologies Corp.* | | | 56,201 | |
| | 2,995 | | | | | | | Dyne Therapeutics Inc.* | | | 138,040 | |
| | 3,076 | | | | | | | Editas Medicine Inc.* | | | 11,504 | |
| | 2,681 | | | | | | | Elevation Oncology Inc.* | | | 2,086 | |
| | 712 | | | | | | | Enanta Pharmaceuticals Inc.* | | | 9,171 | |
| | 729 | | | | | | | Entrada Therapeutics Inc.* | | | 12,903 | |
| | 2,775 | | | | | | | Erasca Inc.* | | | 8,020 | |
| | 6,794 | | | | | | | Exact Sciences Corp.* | | | 419,122 | |
| | 10,696 | | | | | | | Exelixis Inc.* | | | 278,417 | |
| | 3,113 | | | | | | | Fate Therapeutics Inc.* | | | 11,425 | |
| | 629 | | | | | | | Fennec Pharmaceuticals Inc.* | | | 3,504 | |
| | 1,292 | | | | | | | Fibrobiologics Inc.* | | | 2,093 | |
| | 784 | | | | | | | Foghorn Therapeutics Inc.* | | | 6,492 | |
| | 2,936 | | | | | | | G1 Therapeutics Inc.* | | | 20,875 | |
| | 1,906 | | | | | | | Generation Bio Co.* | | | 5,032 | |
| | 21,257 | | | | | | | Geron Corp.* | | | 100,971 | |
| | 420 | | | | | | | Greenwich Lifesciences Inc.* | | | 5,888 | |
| | 651 | | | | | | | Gyre Therapeutics Inc.*(a) | | | 8,964 | |
| | 4,627 | | | | | | | Halozyme Therapeutics Inc.* | | | 295,434 | |
| | 4,418 | | | | | | | Heron Therapeutics Inc.* | | | 8,527 | |
| | 892 | | | | | | | HilleVax Inc.* | | | 1,668 | |
| | 3,532 | | | | | | | Humacyte Inc.* | | | 21,369 | |
| | 2,784 | | | | | | | Ideaya Biosciences Inc.* | | | 109,968 | |
| | 297 | | | | | | | IGM Biosciences Inc.*(a) | | | 3,026 | |
| | 4,886 | | | | | | | ImmunityBio Inc.*(a) | | | 19,300 | |
| | 1,921 | | | | | | | Immunome Inc.* | | | 29,161 | |
| | 2,044 | | | | | | | Immunovant Inc.* | | | 63,160 | |
| | 313 | | | | | | | Inhibrx Biosciences Inc.* | | | 4,557 | |
| | 904 | | | | | | | Inmune Bio Inc.* | | | 5,984 | |
See Notes to Financial Statements.
47
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Biotechnology — 5.5% — (continued) | |
| | 950 | | | | | | | Inovio Pharmaceuticals Inc.* | | $ | 6,859 | |
| | 1,619 | | | | | | | Inozyme Pharma Inc.* | | | 8,969 | |
| | 11,890 | | | | | | | Insmed Inc.* | | | 909,228 | |
| | 3,559 | | | | | | | Intellia Therapeutics Inc.* | | | 79,864 | |
| | 5,339 | | | | | | | Invivyd Inc.* | | | 4,539 | |
| | 5,403 | | | | | | | Ionis Pharmaceuticals Inc.* | | | 257,615 | |
| | 9,363 | | | | | | | Iovance Biotherapeutics Inc.* | | | 109,173 | |
| | 5,272 | | | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 26,676 | |
| | 1,000 | | | | | | | iTeos Therapeutics Inc.* | | | 16,850 | |
| | 1,045 | | | | | | | Janux Therapeutics Inc.* | | | 49,094 | |
| | 414 | | | | | | | Jasper Therapeutics Inc.* | | | 9,025 | |
| | 1,371 | | | | | | | KalVista Pharmaceuticals Inc.* | | | 18,358 | |
| | 1,094 | | | | | | | Keros Therapeutics Inc.* | | | 49,613 | |
| | 1,417 | | | | | | | Kiniksa Pharmaceuticals International PLC, Class A Shares* | | | 37,891 | |
| | 1,361 | | | | | | | Kodiak Sciences Inc.* | | | 3,416 | |
| | 230 | | | | | | | Korro Bio Inc.*(a) | | | 10,976 | |
| | 915 | | | | | | | Krystal Biotech Inc.* | | | 178,535 | |
| | 2,800 | | | | | | | Kura Oncology Inc.* | | | 58,968 | |
| | 1,654 | | | | | | | Kymera Therapeutics Inc.* | | | 79,987 | |
| | 835 | | | | | | | Kyverna Therapeutics Inc.* | | | 6,705 | |
| | 1,886 | | | | | | | Larimar Therapeutics Inc.* | | | 14,918 | |
| | 342 | | | | | | | LENZ Therapeutics Inc. | | | 7,999 | |
| | 471 | | | | | | | Lexeo Therapeutics Inc.* | | | 5,421 | |
| | 2,519 | | | | | | | Lexicon Pharmaceuticals Inc.* | | | 4,358 | |
| | 4,062 | | | | | | | Lineage Cell Therapeutics Inc.* | | | 3,590 | |
| | 7,232 | | | | | | | Lyell Immunopharma Inc.* | | | 10,486 | |
| | 2,240 | | | | | | | MacroGenics Inc.* | | | 7,862 | |
| | 647 | | | | | | | Madrigal Pharmaceuticals Inc.* | | | 159,893 | |
| | 10,375 | | | | | | | MannKind Corp.* | | | 64,947 | |
| | 1,109 | | | | | | | MeiraGTx Holdings PLC* | | | 4,514 | |
| | 3,754 | | | | | | | Mersana Therapeutics Inc.* | | | 5,931 | |
| | 8,460 | | | | | | | Merus NV* | | | 431,375 | |
| | 4,371 | | | | | | | MiMedx Group Inc.* | | | 29,898 | |
| | 967 | | | | | | | Mineralys Therapeutics Inc.* | | | 12,000 | |
| | 1,450 | | | | | | | Mirum Pharmaceuticals Inc.* | | | 62,510 | |
| | 1,250 | | | | | | | Monte Rosa Therapeutics Inc.* | | | 7,713 | |
| | 28,100 | | | | | | | MoonLake Immunotherapeutics, Class A Shares* | | | 1,314,799 | |
| | 3,344 | | | | | | | Myriad Genetics Inc.* | | | 94,736 | |
| | 4,211 | | | | | | | Natera Inc.* | | | 497,993 | |
| | 3,724 | | | | | | | Neurocrine Biosciences Inc.* | | | 473,171 | |
| | 386 | | | | | | | Neurogene Inc.* | | | 14,444 | |
| | 2,097 | | | | | | | Nkarta Inc.* | | | 11,135 | |
| | 5,241 | | | | | | | Novavax Inc.* | | | 64,884 | |
| | 2,240 | | | | | | | Nurix Therapeutics Inc.* | | | 56,448 | |
| | 1,185 | | | | | | | Nuvalent Inc., Class A Shares* | | | 100,879 | |
| | 9,673 | | | | | | | Ocugen Inc.*(a) | | | 12,575 | |
| | 1,468 | | | | | | | Olema Pharmaceuticals Inc.* | | | 17,322 | |
| | 19 | | | | | | | Oncternal Therapeutics Inc.*(f) | | | 19 | |
| | 2,782 | | | | | | | Organogenesis Holdings Inc., Class A Shares* | | | 8,012 | |
| | 2,472 | | | | | | | ORIC Pharmaceuticals Inc.* | | | 25,635 | |
| | 347 | | | | | | | Outlook Therapeutics Inc.* | | | 2,550 | |
| | 2,010 | | | | | | | Ovid therapeutics Inc.* | | | 2,271 | |
| | 569 | | | | | | | PepGen Inc.* | | | 5,479 | |
| | 1,725 | | | | | | | Perspective Therapeutics Inc.* | | | 27,255 | |
| | 2,515 | | | | | | | Poseida Therapeutics Inc., Class A Shares* | | | 7,193 | |
See Notes to Financial Statements.
48
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Biotechnology — 5.5% — (continued) | |
| | 644 | | | | | | | Praxis Precision Medicines Inc.* | | $ | 34,229 | |
| | 3,526 | | | | | | | Precigen Inc.* | | | 3,879 | |
| | 2,474 | | | | | | | Prime Medicine Inc.*(a) | | | 10,589 | |
| | 1,385 | | | | | | | ProKidney Corp., Class A Shares* | | | 3,324 | |
| | 2,219 | | | | | | | Protagonist Therapeutics Inc.* | | | 95,173 | |
| | 1,731 | | | | | | | Prothena Corp. PLC* | | | 38,549 | |
| | 2,820 | | | | | | | PTC Therapeutics Inc.* | | | 99,602 | |
| | 2,183 | | | | | | | Puma Biotechnology Inc.* | | | 5,457 | |
| | 2,111 | | | | | | | Pyxis Oncology Inc.* | | | 8,001 | |
| | 437 | | | | | | | Q32 Bio Inc.* | | | 19,001 | |
| | 1,172 | | | | | | | RAPT Therapeutics Inc.* | | | 2,408 | |
| | 7,627 | | | | | | | Recursion Pharmaceuticals Inc., Class A Shares*(a) | | | 55,525 | |
| | 1,451 | | | | | | | REGENXBIO Inc.* | | | 17,731 | |
| | 3,019 | | | | | | | Regulus Therapeutics Inc.* | | | 5,072 | |
| | 3,884 | | | | | | | Relay Therapeutics Inc.* | | | 26,372 | |
| | 4,013 | | | | | | | Renovaro Inc.* | | | 2,402 | |
| | 2,220 | | | | | | | Replimune Group Inc.* | | | 22,577 | |
| | 5,629 | | | | | | | REVOLUTION Medicines Inc.* | | | 239,964 | |
| | 1,992 | | | | | | | Rhythm Pharmaceuticals Inc.* | | | 94,202 | |
| | 595 | | | | | | | Rigel Pharmaceuticals Inc.* | | | 7,997 | |
| | 54,963 | | | | | | | Rocket Pharmaceuticals Inc.* | | | 1,036,053 | |
| | 13,123 | | | | | | | Roivant Sciences Ltd.* | | | 160,494 | |
| | 2,005 | | | | | | | Sage Therapeutics Inc.* | | | 16,902 | |
| | 4,931 | | | | | | | Sana Biotechnology Inc.* | | | 29,833 | |
| | 3,369 | | | | | | | Sarepta Therapeutics Inc.* | | | 457,443 | |
| | 2,877 | | | | | | | Savara Inc.* | | | 12,285 | |
| | 2,671 | | | | | | | Scholar Rock Holding Corp.* | | | 24,840 | |
| | 1,154 | | | | | | | Sera Prognostics Inc., Class A Shares*(a) | | | 8,482 | |
| | 1,817 | | | | | | | Shattuck Labs Inc.* | | | 6,523 | |
| | 820 | | | | | | | Skye Bioscience Inc.* | | | 5,076 | |
| | 9,966 | | | | | | | Soleno Therapeutics Inc.* | | | 487,836 | |
| | 1,114 | | | | | | | Solid Biosciences Inc.* | | | 9,948 | |
| | 2,610 | | | | | | | SpringWorks Therapeutics Inc.* | | | 108,863 | |
| | 1,292 | | | | | | | Spyre Therapeutics Inc.* | | | 37,145 | |
| | 1,107 | | | | | | | Stoke Therapeutics Inc.* | | | 16,107 | |
| | 3,266 | | | | | | | Summit Therapeutics Inc.* | | | 42,393 | |
| | 4,051 | | | | | | | Sutro Biopharma Inc.* | | | 18,513 | |
| | 3,089 | | | | | | | Syndax Pharmaceuticals Inc.* | | | 63,479 | |
| | 1,743 | | | | | | | Tango Therapeutics Inc.* | | | 20,620 | |
| | 5,968 | | | | | | | Taysha Gene Therapies Inc.* | | | 13,368 | |
| | 1,223 | | | | | | | Tenaya Therapeutics Inc.* | | | 3,278 | |
| | 5,247 | | | | | | | TG Therapeutics Inc.* | | | 123,252 | |
| | 850 | | | | | | | Tourmaline Bio Inc.(a) | | | 14,323 | |
| | 2,561 | | | | | | | Travere Therapeutics Inc., Class Preferred Shares* | | | 24,253 | |
| | 1,462 | | | | | | | TScan Therapeutics Inc.* | | | 8,231 | |
| | 2,119 | | | | | | | Twist Bioscience Corp.* | | | 91,626 | |
| | 599 | | | | | | | Tyra Biosciences Inc.* | | | 13,633 | |
| | 3,255 | | | | | | | Ultragenyx Pharmaceutical Inc.* | | | 184,819 | |
| | 1,632 | | | | | | | United Therapeutics Corp.* | | | 593,314 | |
| | 1,060 | | | | | | | UroGen Pharma Ltd.* | | | 14,745 | |
| | 2,203 | | | | | | | Vanda Pharmaceuticals Inc.* | | | 11,654 | |
| | 28,627 | | | | | | | Vaxcyte Inc.* | | | 2,311,917 | |
| | 1,546 | | | | | | | Vera Therapeutics Inc., Class A Shares* | | | 58,470 | |
| | 2,741 | | | | | | | Veracyte Inc.* | | | 86,479 | |
| | 2,197 | | | | | | | Verastem Inc.* | | | 5,493 | |
See Notes to Financial Statements.
49
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Biotechnology — 5.5% — (continued) | |
| | 1,828 | | | | | | | Vericel Corp.* | | $ | 94,416 | |
| | 2,617 | | | | | | | Verve Therapeutics Inc.* | | | 17,534 | |
| | 15,641 | | | | | | | Viking Therapeutics Inc.* | | | 1,002,901 | |
| | 3,014 | | | | | | | Vir Biotechnology Inc.* | | | 24,896 | |
| | 2,311 | | | | | | | Viridian Therapeutics Inc.* | | | 33,925 | |
| | 1,953 | | | | | | | Voyager Therapeutics Inc.* | | | 12,812 | |
| | 2,761 | | | | | | | Werewolf Therapeutics Inc.* | | | 5,964 | |
| | 4,096 | | | | | | | X4 Pharmaceuticals Inc.* | | | 2,867 | |
| | 1,346 | | | | | | | XBiotech Inc.* | | | 8,614 | |
| | 2,183 | | | | | | | Xencor Inc.* | | | 38,181 | |
| | 17,010 | | | | | | | Xenon Pharmaceuticals Inc.* | | | 686,183 | |
| | 322 | | | | | | | XOMA Royalty Corp.* | | | 9,418 | |
| | 1,519 | | | | | | | Y-mAbs Therapeutics Inc.* | | | 21,737 | |
| | 2,160 | | | | | | | Zentalis Pharmaceuticals Inc.* | | | 7,495 | |
| | 470 | | | | | | | Zura Bio Ltd., Class A Shares*(a) | | | 1,941 | |
| | 1,842 | | | | | | | Zymeworks Inc.* | | | 21,607 | |
| | | | | | | | | | | | |
| | | | | | | | Total Biotechnology | | | 26,089,319 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies — 3.0% | |
| | 92,038 | | | | | | | Accuray Inc.* | | | 200,643 | |
| | 3,537 | | | | | | | Alphatec Holdings Inc.* | | | 24,405 | |
| | 1,224 | | | | | | | AngioDynamics Inc.* | | | 9,131 | |
| | 1,338 | | | | | | | Artivion Inc.* | | | 36,313 | |
| | 16,224 | | | | | | | AtriCure Inc.* | | | 425,231 | |
| | 17,472 | | | | | | | Avanos Medical Inc.* | | | 423,172 | |
| | 1,826 | | | | | | | AxoGen Inc.* | | | 24,012 | |
| | 1,888 | | | | | | | Axonics Inc.* | | | 130,584 | |
| | 1,374 | | | | | | | Bioventus Inc., Class A Shares* | | | 13,809 | |
| | 6,314 | | | | | | | Cerus Corp.* | | | 14,270 | |
| | 1,177 | | | | | | | CONMED Corp. | | | 86,180 | |
| | 406 | | | | | | | CVRx Inc.* | | | 4,003 | |
| | 20,132 | | | | | | | CytoSorbents Corp.* | | | 21,139 | |
| | 7,610 | | | | | | | DENTSPLY SIRONA Inc. | | | 192,457 | |
| | 2,187 | | | | | | | Embecta Corp. | | | 35,736 | |
| | 2,060 | | | | | | | Enovis Corp.* | | | 95,996 | |
| | 6,377 | | | | | | | Envista Holdings Corp.* | | | 116,444 | |
| | 1,808 | | | | | | | Glaukos Corp.* | | | 242,073 | |
| | 4,161 | | | | | | | Globus Medical Inc., Class A Shares* | | | 302,505 | |
| | 33,401 | | | | | | | Haemonetics Corp.* | | | 2,524,448 | |
| | 800 | | | | | | | ICU Medical Inc.* | | | 132,264 | |
| | 1,900 | | | | | | | Inari Medical Inc.* | | | 82,137 | |
| | 3,066 | | | | | | | Inmode Ltd.* | | | 51,233 | |
| | 990 | | | | | | | Inogen Inc.* | | | 12,147 | |
| | 1,094 | | | | | | | Inspire Medical Systems Inc.* | | | 196,723 | |
| | 1,246 | | | | | | | Integer Holdings Corp.* | | | 162,067 | |
| | 38,576 | | | | | | | Integra LifeSciences Holdings Corp.* | | | 784,636 | |
| | 236 | | | | | | | iRadimed Corp. | | | 11,083 | |
| | 14,023 | | | | | | | iRhythm Technologies Inc.* | | | 993,950 | |
| | 15,532 | | | | | | | Lantheus Holdings Inc.* | | | 1,653,692 | |
| | 758 | | | | | | | LeMaitre Vascular Inc. | | | 68,440 | |
| | 2,027 | | | | | | | LivaNova PLC* | | | 102,141 | |
| | 1,606 | | | | | | | Masimo Corp.* | | | 188,737 | |
| | 2,111 | | | | | | | Merit Medical Systems Inc.* | | | 204,091 | |
| | 8,094 | | | | | | | Neogen Corp.* | | | 139,621 | |
| | 963 | | | | | | | NeuroPace Inc.* | | | 7,627 | |
See Notes to Financial Statements.
50
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Health Care Equipment & Supplies — 3.0% — (continued) | |
| | 1,335 | | | | | | | Nevro Corp.* | | $ | 8,264 | |
| | 3,989 | | | | | | | Novocure Ltd.* | | | 77,546 | |
| | 1,565 | | | | | | | Omnicell Inc.* | | | 69,611 | |
| | 59,442 | | | | | | | OraSure Technologies Inc.* | | | 266,300 | |
| | 943 | | | | | | | Orchestra BioMed Holdings Inc.* | | | 6,318 | |
| | 1,175 | | | | | | | Orthofix Medical Inc.* | | | 20,492 | |
| | 567 | | | | | | | OrthoPediatrics Corp.* | | | 18,116 | |
| | 1,646 | | | | | | | Paragon 28 Inc.* | | | 13,695 | |
| | 1,367 | | | | | | | Penumbra Inc.* | | | 276,571 | |
| | 15,011 | | | | | | | PROCEPT BioRobotics Corp.* | | | 1,185,869 | |
| | 1,660 | | | | | | | Pulmonx Corp.* | | | 12,151 | |
| | 451 | | | | | | | Pulse Biosciences Inc.*(a) | | | 8,407 | |
| | 3,130 | | | | | | | QuidelOrtho Corp.* | | | 132,242 | |
| | 1,268 | | | | | | | RxSight Inc.* | | | 71,503 | |
| | 143 | | | | | | | Sanara Medtech Inc.* | | | 5,132 | |
| | 233 | | | | | | | Semler Scientific Inc.* | | | 6,221 | |
| | 1,549 | | | | | | | SI-BONE Inc.* | | | 25,744 | |
| | 981 | | | | | | | Sight Sciences Inc.* | | | 6,641 | |
| | 1,454 | | | | | | | Silk Road Medical Inc.* | | | 39,418 | |
| | 1,893 | | | | | | | STAAR Surgical Co.* | | | 62,639 | |
| | 3,692 | | | | | | | Stereotaxis Inc.* | | | 8,455 | |
| | 496 | | | | | | | Surmodics Inc.* | | | 19,656 | |
| | 906 | | | | | | | Tactile Systems Technology Inc.* | | | 12,403 | |
| | 2,381 | | | | | | | Tandem Diabetes Care Inc.* | | | 103,573 | |
| | 5,860 | | | | | | | Teleflex Inc. | | | 1,436,696 | |
| | 1,186 | | | | | | | TransMedics Group Inc.* | | | 199,319 | |
| | 1,716 | | | | | | | Treace Medical Concepts Inc.* | | | 10,588 | |
| | 255 | | | | | | | UFP Technologies Inc.* | | | 87,014 | |
| | 120 | | | | | | | Utah Medical Products Inc. | | | 8,159 | |
| | 21,514 | | | | | | | Varex Imaging Corp.* | | | 268,495 | |
| | 21,578 | | | | | | | Zimvie Inc.* | | | 374,163 | |
| | 811 | | | | | | | Zynex Inc.*(a) | | | 6,374 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Equipment & Supplies | | | 14,560,915 | |
| | | | | | | | | | | | |
|
| Health Care Providers & Services — 2.9% | |
| | 22,634 | | | | | | | Acadia Healthcare Co., Inc.* | | | 1,854,404 | |
| | 2,358 | | | | | | | Accolade Inc.* | | | 10,234 | |
| | 3,521 | | | | | | | AdaptHealth Corp., Class A Shares* | | | 38,696 | |
| | 584 | | | | | | | Addus HomeCare Corp.* | | | 77,678 | |
| | 11,412 | | | | | | | agilon health Inc.* | | | 46,561 | |
| | 782 | | | | | | | AirSculpt Technologies Inc.* | | | 3,277 | |
| | 3,586 | | | | | | | Alignment Healthcare Inc.* | | | 32,310 | |
| | 1,198 | | | | | | | Amedisys Inc.* | | | 117,416 | |
| | 12,239 | | | | | | | AMN Healthcare Services Inc.* | | | 649,034 | |
| | 1,632 | | | | | | | Astrana Health Inc.* | | | 77,993 | |
| | 1,522 | | | | | | | Aveanna Healthcare Holdings Inc.* | | | 8,599 | |
| | 2,055 | | | | | | | BrightSpring Health Services Inc.* | | | 25,790 | |
| | 6,584 | | | | | | | Brookdale Senior Living Inc.* | | | 46,812 | |
| | 919 | | | | | | | Castle Biosciences Inc.* | | | 27,267 | |
| | 549 | | | | | | | Chemed Corp. | | | 321,807 | |
| | 5,286 | | | | | | | Community Health Systems Inc.* | | | 28,809 | |
| | 332 | | | | | | | CorVel Corp.* | | | 106,482 | |
| | 1,387 | | | | | | | Cross Country Healthcare Inc.* | | | 20,694 | |
| | 1,888 | | | | | | | DaVita Inc.* | | | 284,937 | |
| | 2,822 | | | | | | | DocGo Inc.* | | | 10,667 | |
See Notes to Financial Statements.
51
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Health Care Providers & Services — 2.9% — (continued) | |
| | 14,579 | | | | | | | Encompass Health Corp. | | $ | 1,356,576 | |
| | 2,014 | | | | | | | Enhabit Inc.* | | | 16,998 | |
| | 5,296 | | | | | | | Ensign Group Inc. (The) | | | 801,603 | |
| | 726 | | | | | | | Fulgent Genetics Inc.* | | | 16,379 | |
| | 444 | | | | | | | GeneDx Holdings Corp., Class A Shares* | | | 14,181 | |
| | 4,407 | | | | | | | Guardant Health Inc.* | | | 112,731 | |
| | 3,126 | | | | | | | HealthEquity Inc.* | | | 248,705 | |
| | 4,736 | | | | | | | Henry Schein Inc.* | | | 334,125 | |
| | 7,004 | | | | | | | Hims & Hers Health Inc.* | | | 103,169 | |
| | 589 | | | | | | | InfuSystem Holdings Inc.* | | | 3,917 | |
| | 722 | | | | | | | Innovage Holding Corp.* | | | 4,592 | |
| | 633 | | | | | | | Joint Corp. (The)* | | | 7,159 | |
| | 3,803 | | | | | | | LifeStance Health Group Inc.* | | | 23,997 | |
| | 324 | | | | | | | ModivCare Inc.* | | | 9,351 | |
| | 2,467 | | | | | | | Molina Healthcare Inc.* | | | 862,932 | |
| | 1,596 | | | | | | | Nano-X Imaging Ltd.*(a) | | | 10,166 | |
| | 434 | | | | | | | National HealthCare Corp. | | | 59,514 | |
| | 496 | | | | | | | National Research Corp. | | | 11,309 | |
| | 4,416 | | | | | | | NeoGenomics Inc.* | | | 72,952 | |
| | 13,691 | | | | | | | OPKO Health Inc.*(a) | | | 23,001 | |
| | 79,561 | | | | | | | Option Care Health Inc.* | | | 2,547,543 | |
| | 2,753 | | | | | | | Owens & Minor Inc.* | | | 42,782 | |
| | 901 | | | | | | | PACS Group Inc.* | | | 35,743 | |
| | 26,014 | | | | | | | Patterson Cos., Inc. | | | 585,055 | |
| | 50,439 | | | | | | | Pediatrix Medical Group Inc.* | | | 547,767 | |
| | 916 | | | | | | | Pennant Group Inc. (The)* | | | 31,382 | |
| | 2,219 | | | | | | | Performant Financial Corp.* | | | 7,833 | |
| | 970 | | | | | | | PetIQ Inc., Class A Shares* | | | 29,633 | |
| | 4,578 | | | | | | | Premier Inc., Class A Shares | | | 93,254 | |
| | 3,857 | | | | | | | Privia Health Group Inc.* | | | 77,680 | |
| | 3,140 | | | | | | | Progyny Inc.* | | | 73,759 | |
| | 1,232 | | | | | | | Quipt Home Medical Corp.* | | | 3,523 | |
| | 5,757 | | | | | | | R1 RCM Inc.* | | | 81,231 | |
| | 2,455 | | | | | | | RadNet Inc.* | | | 162,742 | |
| | 3,970 | | | | | | | Select Medical Holdings Corp. | | | 143,198 | |
| | 2,792 | | | | | | | Surgery Partners Inc.* | | | 89,204 | |
| | 4,583 | | | | | | | Talkspace Inc.* | | | 9,166 | |
| | 3,600 | | | | | | | Tenet Healthcare Corp.* | | | 597,024 | |
| | 2,164 | | | | | | | Universal Health Services Inc., Class B Shares | | | 514,967 | |
| | 571 | | | | | | | US Physical Therapy Inc. | | | 48,878 | |
| | 1,122 | | | | | | | Viemed Healthcare Inc.* | | | 8,527 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Providers & Services | | | 13,613,715 | |
| | | | | | | | | | | | |
|
| Health Care Technology — 0.1% | |
| | 4,525 | | | | | | | Certara Inc.* | | | 55,431 | |
| | 2,148 | | | | | | | Definitive Healthcare Corp., Class A Shares* | | | 10,074 | |
| | 4,429 | | | | | | | Doximity Inc., Class A Shares* | | | 162,899 | |
| | 4,280 | | | | | | | Evolent Health Inc., Class A Shares* | | | 136,874 | |
| | 2,001 | | | | | | | Health Catalyst Inc.* | | | 14,387 | |
| | 873 | | | | | | | HealthStream Inc. | | | 25,352 | |
| | 1,315 | | | | | | | LifeMD Inc.* | | | 6,851 | |
| | 765 | | | | | | | OptimizeRx Corp.* | | | 6,357 | |
| | 1,853 | | | | | | | Phreesia Inc.* | | | 47,641 | |
| | 1,927 | | | | | | | Schrodinger Inc.* | | | 40,525 | |
| | 547 | | | | | | | Simulations Plus Inc. | | | 19,829 | |
| | 6,511 | | | | | | | Teladoc Health Inc.* | | | 46,684 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Technology | | | 572,904 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
52
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Life Sciences Tools & Services — 1.4% | |
| | 3,876 | | | | | | | 10X Genomics Inc., Class A Shares* | | $ | 90,505 | |
| | 3,898 | | | | | | | Adaptive Biotechnologies Corp.* | | | 18,321 | |
| | 767 | | | | | | | Akoya Biosciences Inc.* | | | 1,956 | |
| | 34,256 | | | | | | | Avantor Inc.* | | | 885,175 | |
| | 2,084 | | | | | | | Azenta Inc.* | | | 103,200 | |
| | 1,206 | | | | | | | BioLife Solutions Inc.* | | | 31,211 | |
| | 3,371 | | | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 1,137,106 | |
| | 5,780 | | | | | | | Bio-Techne Corp. | | | 427,662 | |
| | 3,905 | | | | | | | Bruker Corp. | | | 262,377 | |
| | 4,710 | | | | | | | Charles River Laboratories International Inc.* | | | 931,402 | |
| | 2,648 | | | | | | | ChromaDex Corp.* | | | 9,135 | |
| | 2,245 | | | | | | | Codexis Inc.* | | | 6,488 | |
| | 1,543 | | | | | | | CryoPort Inc.* | | | 14,381 | |
| | 4,155 | | | | | | | Cytek Biosciences Inc.* | | | 23,850 | |
| | 24,137 | | | | | | | Fortrea Holdings Inc.* | | | 556,599 | |
| | 1,350 | | | | | | | Harvard Bioscience Inc.* | | | 3,888 | |
| | 1,375 | | | | | | | Lifecore Biomedical Inc.* | | | 6,022 | |
| | 3,971 | | | | | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | 35,937 | |
| | 3,229 | | | | | | | MaxCyte Inc.* | | | 13,949 | |
| | 946 | | | | | | | Medpace Holdings Inc.* | | | 336,085 | |
| | 188 | | | | | | | Mesa Laboratories Inc. | | | 25,134 | |
| | 1,289 | | | | | | | Nautilus Biotechnology Inc., Class A Shares* | | | 3,351 | |
| | 2,956 | | | | | | | OmniAb Inc.* | | | 12,386 | |
| | 234 | | | | | | | OmniAb Inc., (Cost — $0, acquired 11/3/22), Class CR3 Shares*(b)(c)(f) | | | — | |
| | 234 | | | | | | | OmniAb Inc., (Cost — $0, acquired 11/3/22), Class CR4 Shares*(b)(c)(f) | | | — | |
| | 8,129 | | | | | | | Pacific Biosciences of California Inc.* | | | 11,137 | |
| | 8,270 | | | | | | | QIAGEN NV* | | | 378,022 | |
| | 1,361 | | | | | | | Quanterix Corp.* | | | 17,734 | |
| | 4,548 | | | | | | | Quantum-Si Inc.* | | | 4,306 | |
| | 2,072 | | | | | | | Repligen Corp.* | | | 312,727 | |
| | 7,417 | | | | | | | Revvity Inc. | | | 908,879 | |
| | 4,363 | | | | | | | Sotera Health Co.* | | | 67,365 | |
| | 100,301 | | | | | | | Standard BioTools Inc.* | | | 213,641 | |
| | | | | | | | | | | | |
| | | | | | | | Total Life Sciences Tools & Services | | | 6,849,931 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 1.2% | |
| | 1,170 | | | | | | | Alimera Sciences Inc.* | | | 6,470 | |
| | 657 | | | | | | | Alto Neuroscience Inc.* | | | 8,416 | |
| | 65,807 | | | | | | | Amneal Pharmaceuticals Inc.* | | | 569,889 | |
| | 1,437 | | | | | | | Amphastar Pharmaceuticals Inc.* | | | 70,039 | |
| | 685 | | | | | | | ANI Pharmaceuticals Inc.* | | | 43,669 | |
| | 2,797 | | | | | | | Aquestive Therapeutics Inc.* | | | 12,670 | |
| | 2,382 | | | | | | | Arvinas Inc.* | | | 62,313 | |
| | 3,220 | | | | | | | Atea Pharmaceuticals Inc.* | | | 12,397 | |
| | 3,415 | | | | | | | Avadel Pharmaceuticals PLC, ADR* | | | 51,806 | |
| | 1,350 | | | | | | | Axsome Therapeutics Inc.* | | | 119,961 | |
| | 813 | | | | | | | Biote Corp., Class A Shares* | | | 5,106 | |
| | 1,467 | | | | | | | Cassava Sciences Inc.*(a) | | | 42,118 | |
| | 6,733 | | | | | | | Catalent Inc.* | | | 410,444 | |
| | 1,004 | | | | | | | CinCor Pharma Inc.*(f) | | | 3,223 | |
| | 1,236 | | | | | | | Collegium Pharmaceutical Inc.* | | | 47,537 | |
| | 324 | | | | | | | Contineum Therapeutics Inc., Class A Shares*(a) | | | 6,315 | |
| | 2,877 | | | | | | | Corcept Therapeutics Inc.* | | | 101,558 | |
| | 1,546 | | | | | | | CorMedix Inc.* | | | 9,647 | |
| | 2,699 | | | | | | | Edgewise Therapeutics Inc.* | | | 50,606 | |
See Notes to Financial Statements.
53
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 14.1% — (continued) | |
|
| Pharmaceuticals — 1.2% — (continued) | |
| | 18,328 | | | | | | | Elanco Animal Health Inc.* | | $ | 283,534 | |
| | 1,306 | | | | | | | Enliven Therapeutics Inc.* | | | 28,575 | |
| | 6,941 | | | | | | | Esperion Therapeutics Inc.* | | | 12,702 | |
| | 2,092 | | | | | | | Evolus Inc.* | | | 33,242 | |
| | 1,456 | | | | | | | EyePoint Pharmaceuticals Inc.* | | | 13,031 | |
| | 2,335 | | | | | | | Fulcrum Therapeutics Inc.* | | | 19,964 | |
| | 1,175 | | | | | | | Harmony Biosciences Holdings Inc.* | | | 42,276 | |
| | 1,244 | | | | | | | Harrow Inc.* | | | 50,332 | |
| | 57,857 | | | | | | | Innoviva Inc.* | | | 1,121,269 | |
| | 14,367 | | | | | | | Intra-Cellular Therapies Inc.* | | | 1,052,814 | |
| | 2,263 | | | | | | | Jazz Pharmaceuticals PLC* | | | 262,463 | |
| | 612 | | | | | | | Ligand Pharmaceuticals Inc.* | | | 64,750 | |
| | 2,018 | | | | | | | Liquidia Corp.* | | | 19,191 | |
| | 1,203 | | | | | | | Longboard Pharmaceuticals Inc.* | | | 43,404 | |
| | 442 | | | | | | | MediWound Ltd.* | | | 8,128 | |
| | 2,710 | | | | | | | Mind Medicine MindMed Inc.* | | | 16,423 | |
| | 6,609 | | | | | | | Nektar Therapeutics, Class A Shares* | | | 8,460 | |
| | 3,105 | | | | | | | Neumora Therapeutics Inc.* | | | 35,707 | |
| | 6,179 | | | | | | | Nuvation Bio Inc.* | | | 19,896 | |
| | 5,756 | | | | | | | Ocular Therapeutix Inc.* | | | 50,768 | |
| | 2,109 | | | | | | | Omeros Corp.*(a) | | | 8,879 | |
| | 9,540 | | | | | | | Organon & Co. | | | 213,219 | |
| | 1,718 | | | | | | | Pacira BioSciences Inc.* | | | 26,732 | |
| | 5,105 | | | | | | | Perrigo Co. PLC | | | 148,555 | |
| | 1,080 | | | | | | | Phathom Pharmaceuticals Inc.*(a) | | | 17,842 | |
| | 789 | | | | | | | Phibro Animal Health Corp., Class A Shares | | | 16,569 | |
| | 1,950 | | | | | | | Pliant Therapeutics Inc.* | | | 25,915 | |
| | 1,839 | | | | | | | Prestige Consumer Healthcare Inc.* | | | 137,263 | |
| | 3,024 | | | | | | | Revance Therapeutics Inc.* | | | 19,868 | |
| | 2,404 | | | | | | | Scilex Holding Co.*(b) | | | 2,765 | |
| | 1,052 | | | | | | | scPharmaceuticals Inc.* | | | 5,355 | |
| | 1,907 | | | | | | | SIGA Technologies Inc. | | | 17,220 | |
| | 1,873 | | | | | | | Supernus Pharmaceuticals Inc.* | | | 65,855 | |
| | 1,368 | | | | | | | Tarsus Pharmaceuticals Inc.* | | | 37,086 | |
| | 2,404 | | | | | | | Terns Pharmaceuticals Inc.* | | | 18,318 | |
| | 1,412 | | | | | | | Theravance Biopharma Inc.* | | | 11,649 | |
| | 640 | | | | | | | Third Harmonic Bio Inc.* | | | 7,392 | |
| | 2,218 | | | | | | | Trevi Therapeutics Inc.* | | | 7,009 | |
| | 1,687 | | | | | | | Ventyx Biosciences Inc.* | | | 3,762 | |
| | 1,000 | | | | | | | Verrica Pharmaceuticals Inc.* | | | 2,350 | |
| | 3,018 | | | | | | | WaVe Life Sciences Ltd.* | | | 17,323 | |
| | 4,439 | | | | | | | Xeris Biopharma Holdings Inc.* | | | 12,474 | |
| | 1,116 | | | | | | | Zevra Therapeutics Inc.* | | | 8,537 | |
| | | | | | | | | | | | |
| | | | | | | | Total Pharmaceuticals | | | 5,653,050 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals, Biotechnology & Life Sciences — 0.0%@ | |
| | 1,045 | | | | | | | AstraZeneca PLC*(b)(f) | | | 324 | |
| | 2,089 | | | | | | | Novartis AG*(b)(f) | | | 1,316 | |
| | | | | | | | | | | | |
| | | | | | | | Total Pharmaceuticals, Biotechnology & Life Sciences | | | 1,640 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL HEALTH CARE | | | 67,341,474 | |
| | | | | | | | | | | | |
|
| INDUSTRIALS — 19.6% | |
|
| Aerospace & Defense — 1.3% | |
| | 1,254 | | | | | | | AAR Corp.* | | | 82,488 | |
| | 964 | | | | | | | Aerovironment Inc.* | | | 196,425 | |
| | 1,142 | | | | | | | AerSale Corp.* | | | 5,813 | |
| | 8,589 | | | | | | | Archer Aviation Inc., Class A Shares*(a) | | | 29,203 | |
See Notes to Financial Statements.
54
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Aerospace & Defense — 1.3% — (continued) | |
| | 1,028 | | | | | | | Astronics Corp.* | | $ | 23,048 | |
| | 3,390 | | | | | | | BWX Technologies Inc. | | | 349,170 | |
| | 693 | | | | | | | Byrna Technologies Inc.* | | | 8,032 | |
| | 970 | | | | | | | Cadre Holdings Inc. | | | 35,162 | |
| | 1,434 | | | | | | | Curtiss-Wright Corp. | | | 452,943 | |
| | 531 | | | | | | | Ducommun Inc.* | | | 34,557 | |
| | 611 | | | | | | | Eve Holding Inc.* | | | 1,717 | |
| | 3,093 | | | | | | | Hexcel Corp. | | | 195,756 | |
| | 1,475 | | | | | | | Huntington Ingalls Industries Inc. | | | 417,086 | |
| | 1,810 | | | | | | | Intuitive Machines Inc.*(a) | | | 8,996 | |
| | 5,490 | | | | | | | Kratos Defense & Security Solutions Inc.* | | | 125,941 | |
| | 2,522 | | | | | | | Leonardo DRS Inc.* | | | 71,978 | |
| | 361 | | | | | | | Loar Holdings Inc.* | | | 26,772 | |
| | 18,604 | | | | | | | Mercury Systems Inc.* | | | 705,092 | |
| | 10,049 | | | | | | | Moog Inc., Class A Shares | | | 1,983,673 | |
| | 183 | | | | | | | National Presto Industries Inc. | | | 14,327 | |
| | 809 | | | | | | | Park Aerospace Corp. | | | 10,929 | |
| | 1,016 | | | | | | | Redwire Corp.* | | | 6,858 | |
| | 12,739 | | | | | | | Rocket Lab USA Inc.* | | | 79,873 | |
| | 4,341 | | | | | | | Spirit AeroSystems Holdings Inc., Class A Shares* | | | 152,847 | |
| | 4,234 | | | | | | | Terran Orbital Corp.* | | | 1,037 | |
| | 7,085 | | | | | | | Textron Inc. | | | 646,152 | |
| | 2,488 | | | | | | | Triumph Group Inc.* | | | 34,658 | |
| | 407 | | | | | | | V2X Inc.* | | | 23,056 | |
| | 624 | | | | | | | Virgin Galactic Holdings Inc.* | | | 4,174 | |
| | 896 | | | | | | | VirTra Inc.* | | | 6,021 | |
| | 2,216 | | | | | | | Woodward Inc. | | | 369,296 | |
| | | | | | | | | | | | |
| | | | | | | | Total Aerospace & Defense | | | 6,103,080 | |
| | | | | | | | | | | | |
|
| Air Freight & Logistics — 0.4% | |
| | 1,731 | | | | | | | Air Transport Services Group Inc.* | | | 29,185 | |
| | 16,306 | | | | | | | CH Robinson Worldwide Inc. | | | 1,687,834 | |
| | 968 | | | | | | | Forward Air Corp. | | | 30,753 | |
| | 4,332 | | | | | | | GXO Logistics Inc.* | | | 216,816 | |
| | 2,213 | | | | | | | Hub Group Inc., Class A Shares | | | 104,299 | |
| | 1,467 | | | | | | | Radiant Logistics Inc.* | | | 9,345 | |
| | | | | | | | | | | | |
| | | | | | | | Total Air Freight & Logistics | | | 2,078,232 | |
| | | | | | | | | | | | |
|
| Building Products — 1.6% | |
| | 2,509 | | | | | | | AAON Inc. | | | 239,635 | |
| | 2,474 | | | | | | | Advanced Drainage Systems Inc. | | | 387,824 | |
| | 3,237 | | | | | | | Allegion PLC | | | 449,425 | |
| | 565 | | | | | | | American Woodmark Corp.* | | | 50,630 | |
| | 4,464 | | | | | | | AO Smith Corp. | | | 373,726 | |
| | 824 | | | | | | | Apogee Enterprises Inc. | | | 55,027 | |
| | 1,576 | | | | | | | Armstrong World Industries Inc. | | | 199,774 | |
| | 5,339 | | | | | | | AZEK Co., Inc. (The), Class A Shares* | | | 227,602 | |
| | 1,083 | | | | | | | AZZ Inc. | | | 90,073 | |
| | 5,853 | | | | | | | Builders FirstSource Inc.* | | | 1,018,422 | |
| | 1,313 | | | | | | | Caesarstone Ltd.* | | | 6,434 | |
| | 573 | | | | | | | CSW Industrials Inc. | | | 193,462 | |
| | 4,678 | | | | | | | Fortune Brands Innovations Inc. | | | 371,480 | |
| | 1,072 | | | | | | | Gibraltar Industries Inc.* | | | 74,686 | |
| | 1,402 | | | | | | | Griffon Corp. | | | 92,798 | |
| | 5,319 | | | | | | | Hayward Holdings Inc.* | | | 78,934 | |
| | 762 | | | | | | | Insteel Industries Inc. | | | 26,213 | |
| | 5,260 | | | | | | | Janus International Group Inc.* | | | 57,807 | |
| | 3,154 | | | | | | | JELD-WEN Holding Inc.* | | | 44,913 | |
See Notes to Financial Statements.
55
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Building Products — 1.6% — (continued) | |
| | 1,192 | | | | | | | Lennox International Inc. | | $ | 703,506 | |
| | 4,570 | | | | | | | Masterbrand Inc.* | | | 73,303 | |
| | 3,216 | | | | | | | Owens Corning | | | 542,636 | |
| | 1,637 | | | | | | | Quanex Building Products Corp. | | | 45,230 | |
| | 71,482 | | | | | | | Resideo Technologies Inc.* | | | 1,441,077 | |
| | 1,573 | | | | | | | Simpson Manufacturing Co., Inc. | | | 287,953 | |
| | 833 | | | | | | | Tecnoglass Inc. | | | 51,621 | |
| | 4,006 | | | | | | | Trex Co., Inc.* | | | 255,342 | |
| | 2,237 | | | | | | | UFP Industries Inc. | | | 272,176 | |
| | 5,257 | | | | | | | Zurn Elkay Water Solutions Corp. | | | 170,485 | |
| | | | | | | | | | | | |
| | | | | | | | Total Building Products | | | 7,882,194 | |
| | | | | | | | | | | | |
|
| Commercial Services & Supplies — 2.1% | |
| | 19,466 | | | | | | | ABM Industries Inc. | | | 1,112,482 | |
| | 3,556 | | | | | | | ACCO Brands Corp. | | | 19,487 | |
| | 5,449 | | | | | | | ACV Auctions Inc., Class A Shares* | | | 101,951 | |
| | 946 | | | | | | | Aris Water Solutions Inc., Class A Shares | | | 15,912 | |
| | 1,416 | | | | | | | BrightView Holdings Inc.* | | | 22,614 | |
| | 1,666 | | | | | | | Brink’s Co. (The) | | | 184,809 | |
| | 25,238 | | | | | | | Casella Waste Systems Inc., Class A Shares* | | | 2,722,171 | |
| | 1,052 | | | | | | | CECO Environmental Corp.* | | | 30,455 | |
| | 700 | | | | | | | Cimpress PLC* | | | 69,216 | |
| | 4,513 | | | | | | | Clean Harbors Inc.* | | | 1,109,747 | |
| | 3,921 | | | | | | | CoreCivic Inc.* | | | 54,031 | |
| | 1,668 | | | | | | | Deluxe Corp. | | | 34,344 | |
| | 2,333 | | | | | | | Driven Brands Holdings Inc.* | | | 33,455 | |
| | 1,039 | | | | | | | Ennis Inc. | | | 24,843 | |
| | 72,330 | | | | | | | Enviri Corp.* | | | 864,344 | |
| | 4,530 | | | | | | | GEO Group Inc. (The)* | | | 62,831 | |
| | 2,707 | | | | | | | Healthcare Services Group Inc.* | | | 29,479 | |
| | 1,791 | | | | | | | HNI Corp. | | | 96,445 | |
| | 2,175 | | | | | | | Interface Inc., Class A Shares | | | 41,064 | |
| | 5,277 | | | | | | | LanzaTech Global Inc.* | | | 7,863 | |
| | 937 | | | | | | | Liquidity Services Inc.* | | | 20,398 | |
| | 1,140 | | | | | | | Matthews International Corp., Class A Shares | | | 28,876 | |
| | 37,072 | | | | | | | MillerKnoll Inc. | | | 1,091,770 | |
| | 1,202 | | | | | | | Montrose Environmental Group Inc.* | | | 39,546 | |
| | 1,367 | | | | | | | MSA Safety Inc. | | | 249,655 | |
| | 157 | | | | | | | NL Industries Inc. | | | 1,039 | |
| | 48,857 | | | | | | | OPENLANE Inc.* | | | 846,692 | |
| | 698 | | | | | | | Perma-Fix Environmental Services Inc.* | | | 7,678 | |
| | 4,876 | | | | | | | Pitney Bowes Inc. | | | 34,473 | |
| | 1,655 | | | | | | | Quad/Graphics Inc. | | | 7,762 | |
| | 796 | | | | | | | Quest Resource Holding Corp.* | | | 7,037 | |
| | 3,580 | | | | | | | Steelcase Inc., Class A Shares | | | 50,621 | |
| | 3,410 | | | | | | | Stericycle Inc.* | | | 202,077 | |
| | 1,980 | | | | | | | Tetra Tech Inc. | | | 470,725 | |
| | 568 | | | | | | | UniFirst Corp. | | | 107,744 | |
| | 4,624 | | | | | | | Vestis Corp. | | | 65,060 | |
| | 682 | | | | | | | Viad Corp.* | | | 23,468 | |
| | 459 | | | | | | | Virco Mfg. Corp. | | | 7,128 | |
| | 481 | | | | | | | VSE Corp. | | | 44,747 | |
| | | | | | | | | | | | |
| | | | | | | | Total Commercial Services & Supplies | | | 9,944,039 | |
| | | | | | | | | | | | |
|
| Construction & Engineering — 2.9% | |
| | 5,053 | | | | | | | AECOM | | | 506,007 | |
| | 1,214 | | | | | | | Ameresco Inc., Class A Shares* | | | 36,966 | |
| | 8,459 | | | | | | | API Group Corp.* | | | 300,717 | |
See Notes to Financial Statements.
56
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Construction & Engineering — 2.9% — (continued) | |
| | 11,288 | | | | | | | Arcosa Inc. | | $ | 1,032,739 | |
| | 520 | | | | | | | Argan Inc. | | | 41,241 | |
| | 363 | | | | | | | Bowman Consulting Group Ltd.* | | | 8,712 | |
| | 548 | | | | | | | Centuri Holdings Inc.* | | | 9,371 | |
| | 9,037 | | | | | | | Comfort Systems USA Inc. | | | 3,194,760 | |
| | 1,176 | | | | | | | Concrete Pumping Holdings Inc.* | | | 7,632 | |
| | 1,584 | | | | | | | Construction Partners Inc., Class A Shares* | | | 104,512 | |
| | 3,855 | | | | | | | Dycom Industries Inc.* | | | 678,326 | |
| | 1,732 | | | | | | | EMCOR Group Inc. | | | 680,780 | |
| | 48,393 | | | | | | | Fluor Corp.* | | | 2,423,038 | |
| | 1,657 | | | | | | | Granite Construction Inc. | | | 124,540 | |
| | 2,542 | | | | | | | Great Lakes Dredge & Dock Corp.* | | | 25,293 | |
| | 303 | | | | | | | IES Holdings Inc.* | | | 56,519 | |
| | 339 | | | | | | | Limbach Holdings Inc.* | | | 21,910 | |
| | 12,177 | | | | | | | MasTec Inc.* | | | 1,377,584 | |
| | 966 | | | | | | | Matrix Service Co.* | | | 9,621 | |
| | 7,436 | | | | | | | MDU Resources Group Inc. | | | 191,031 | |
| | 586 | | | | | | | MYR Group Inc.* | | | 59,069 | |
| | 394 | | | | | | | Northwest Pipe Co.* | | | 17,328 | |
| | 1,128 | | | | | | | Orion Group Holdings Inc.* | | | 8,528 | |
| | 1,997 | | | | | | | Primoris Services Corp. | | | 112,711 | |
| | 1,127 | | | | | | | Sterling Infrastructure Inc.* | | | 134,710 | |
| | 1,667 | | | | | | | Tutor Perini Corp.* | | | 39,958 | |
| | 743 | | | | | | | Valmont Industries Inc. | | | 212,320 | |
| | 63,685 | | | | | | | WillScot Holdings Corp.* | | | 2,454,420 | |
| | | | | | | | | | | | |
| | | | | | | | Total Construction & Engineering | | | 13,870,343 | |
| | | | | | | | | | | | |
|
| Electrical Equipment — 1.9% | |
| | 1,146 | | | | | | | Acuity Brands Inc. | | | 291,886 | |
| | 459 | | | | | | | Allient Inc. | | | 9,749 | |
| | 1,251 | | | | | | | American Superconductor Corp.* | | | 25,295 | |
| | 5,382 | | | | | | | Array Technologies Inc.* | | | 36,113 | |
| | 1,330 | | | | | | | Atkore Inc. | | | 124,129 | |
| | 102,067 | | | | | | | Babcock & Wilcox Enterprises Inc.* | | | 120,439 | |
| | 3,902 | | | | | | | Blink Charging Co.* | | | 7,258 | |
| | 32,443 | | | | | | | Bloom Energy Corp., Class A Shares*(a) | | | 386,396 | |
| | 11,798 | | | | | | | ChargePoint Holdings Inc.*(a) | | | 22,180 | |
| | 5,000 | | | | | | | Energy Vault Holdings Inc.* | | | 5,050 | |
| | 1,495 | | | | | | | EnerSys | | | 151,488 | |
| | 5,458 | | | | | | | Enovix Corp.*(a) | | | 51,960 | |
| | 2,124 | | | | | | | Fluence Energy Inc., Class A Shares* | | | 39,018 | |
| | 4,089 | | | | | | | Freyr Battery Inc.* | | | 5,030 | |
| | 14,079 | | | | | | | FuelCell Energy Inc.* | | | 5,699 | |
| | 2,204 | | | | | | | Generac Holdings Inc.* | | | 344,992 | |
| | 6,858 | | | | | | | GrafTech International Ltd.* | | | 4,703 | |
| | 931 | | | | | | | LSI Industries Inc. | | | 14,812 | |
| | 723 | | | | | | | Net Power Inc.* | | | 6,124 | |
| | 30,269 | | | | | | | NEXTracker Inc., Class A Shares* | | | 1,231,040 | |
| | 2,831 | | | | | | | NuScale Power Corp.*(a) | | | 23,299 | |
| | 6,165 | | | | | | | nVent Electric PLC | | | 418,974 | |
| | 23,177 | | | | | | | Plug Power Inc.*(a) | | | 43,573 | |
| | 332 | | | | | | | Powell Industries Inc. | | | 55,590 | |
| | 90 | | | | | | | Preformed Line Products Co. | | | 10,794 | |
| | 17,355 | | | | | | | Regal Rexnord Corp. | | | 2,912,343 | |
| | 62,920 | | | | | | | Sensata Technologies Holding PLC | | | 2,425,566 | |
See Notes to Financial Statements.
57
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Electrical Equipment — 1.9% — (continued) | |
| | 4,042 | | | | | | | SES AI Corp.* | | $ | 4,325 | |
| | 5,914 | | | | | | | Shoals Technologies Group Inc., Class A Shares* | | | 31,877 | |
| | 5,478 | | | | | | | Stem Inc.* | | | 3,194 | |
| | 8,075 | | | | | | | Sunrun Inc.* | | | 165,699 | |
| | 1,189 | | | | | | | Thermon Group Holdings Inc.* | | | 37,370 | |
| | 1,329 | | | | | | | TPI Composites Inc.* | | | 5,755 | |
| | 681 | | | | | | | Ultralife Corp.* | | | 7,123 | |
| | 880 | | | | | | | Vicor Corp.* | | | 33,880 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electrical Equipment | | | 9,062,723 | |
| | | | | | | | | | | | |
|
| Ground Transportation — 1.0% | |
| | 11,397 | | | | | | | ArcBest Corp. | | | 1,211,501 | |
| | 671 | | | | | | | Avis Budget Group Inc. | | | 55,015 | |
| | 318 | | | | | | | Covenant Logistics Group Inc., Class A Shares | | | 16,749 | |
| | 3,332 | | | | | | | FTAI Infrastructure Inc. | | | 33,120 | |
| | 1,639 | | | | | | | Heartland Express Inc. | | | 20,291 | |
| | 4,870 | | | | | | | Hertz Global Holdings Inc.* | | | 14,805 | |
| | 5,786 | | | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 303,071 | |
| | 1,297 | | | | | | | Landstar System Inc. | | | 236,780 | |
| | 13,516 | | | | | | | Lyft Inc., Class A Shares* | | | 157,732 | |
| | 2,249 | | | | | | | Marten Transport Ltd. | | | 39,245 | |
| | 234 | | | | | | | PAM Transportation Services Inc.* | | | 4,245 | |
| | 4,352 | | | | | | | RXO Inc.* | | | 123,858 | |
| | 1,611 | | | | | | | Ryder System Inc. | | | 233,982 | |
| | 4,157 | | | | | | | Saia Inc.* | | | 1,562,325 | |
| | 1,853 | | | | | | | Schneider National Inc., Class B Shares | | | 50,235 | |
| | 376 | | | | | | | U-Haul Holding Co.* | | | 26,703 | |
| | 3,739 | | | | | | | U-Haul Holding Co.-Non Voting | | | 255,561 | |
| | 346 | | | | | | | Universal Logistics Holdings Inc. | | | 14,625 | |
| | 2,298 | | | | | | | Werner Enterprises Inc. | | | 84,934 | |
| | 4,252 | | | | | | | XPO Inc.* | | | 487,364 | |
| | | | | | | | | | | | |
| | | | | | | | Total Ground Transportation | | | 4,932,141 | |
| | | | | | | | | | | | |
|
| Industrial Conglomerates — 0.0%@ | |
| | 1,087 | | | | | | | Brookfield Business Corp., Class A Shares | | | 24,773 | |
| | | | | | | | | | | | |
|
| Machinery — 3.8% | |
| | 2,030 | | | | | | | 374Water Inc.* | | | 2,355 | |
| | 4,809 | | | | | | | 3D Systems Corp.* | | | 10,291 | |
| | 2,332 | | | | | | | AGCO Corp. | | | 212,305 | |
| | 392 | | | | | | | Alamo Group Inc. | | | 72,677 | |
| | 1,148 | | | | | | | Albany International Corp., Class A Shares | | | 108,096 | |
| | 3,238 | | | | | | | Allison Transmission Holdings Inc. | | | 300,325 | |
| | 862 | | | | | | | Astec Industries Inc. | | | 29,161 | |
| | 3,178 | | | | | | | Atmus Filtration Technologies Inc. | | | 113,931 | |
| | 1,724 | | | | | | | Barnes Group Inc. | | | 69,029 | |
| | 1,188 | | | | | | | Blue Bird Corp.* | | | 60,802 | |
| | 1,537 | | | | | | | Chart Industries Inc.* | | | 188,129 | |
| | 1,031 | | | | | | | Columbus McKinnon Corp. | | | 35,271 | |
| | 1,187 | | | | | | | Commercial Vehicle Group Inc.* | | | 4,309 | |
| | 1,822 | | | | | | | Crane Co. | | | 288,568 | |
| | 4,468 | | | | | | | Donaldson Co., Inc. | | | 324,958 | |
| | 929 | | | | | | | Douglas Dynamics Inc. | | | 25,863 | |
| | 273 | | | | | | | Eastern Co. (The) | | | 8,220 | |
| | 2,126 | | | | | | | Energy Recovery Inc.* | | | 34,526 | |
| | 2,001 | | | | | | | Enerpac Tool Group Corp., Class A Shares | | | 82,521 | |
| | 789 | | | | | | | Enpro Inc. | | | 126,895 | |
| | 2,116 | | | | | | | Esab Corp. | | | 222,117 | |
See Notes to Financial Statements.
58
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Machinery — 3.8% — (continued) | |
| | 974 | | | | | | | ESCO Technologies Inc. | | $ | 116,792 | |
| | 2,218 | | | | | | | Federal Signal Corp. | | | 209,579 | |
| | 4,894 | | | | | | | Flowserve Corp. | | | 244,113 | |
| | 1,613 | | | | | | | Franklin Electric Co., Inc. | | | 167,526 | |
| | 66,191 | | | | | | | Gates Industrial Corp. PLC* | | | 1,202,029 | |
| | 401 | | | | | | | Gencor Industries Inc.* | | | 8,088 | |
| | 903 | | | | | | | Gorman-Rupp Co. (The) | | | 35,199 | |
| | 6,196 | | | | | | | Graco Inc. | | | 516,437 | |
| | 363 | | | | | | | Graham Corp.* | | | 11,558 | |
| | 1,079 | | | | | | | Greenbrier Cos., Inc. (The) | | | 52,278 | |
| | 9,037 | | | | | | | Helios Technologies Inc. | | | 399,345 | |
| | 2,617 | | | | | | | Hillenbrand Inc. | | | 86,256 | |
| | 7,121 | | | | | | | Hillman Solutions Corp.* | | | 70,854 | |
| | 4,856 | | | | | | | Hyliion Holdings Corp.* | | | 9,081 | |
| | 452 | | | | | | | Hyster-Yale Inc. | | | 28,458 | |
| | 19,393 | | | | | | | ITT Inc. | | | 2,699,893 | |
| | 10,072 | | | | | | | John Bean Technologies Corp. | | | 904,868 | |
| | 434 | | | | | | | Kadant Inc. | | | 139,370 | |
| | 2,934 | | | | | | | Kennametal Inc. | | | 75,903 | |
| | 327 | | | | | | | L B Foster Co., Class A Shares* | | | 6,566 | |
| | 2,058 | | | | | | | Lincoln Electric Holdings Inc. | | | 398,449 | |
| | 367 | | | | | | | Lindsay Corp. | | | 45,526 | |
| | 984 | | | | | | | Luxfer Holdings PLC, ADR | | | 11,040 | |
| | 1,152 | | | | | | | Manitowoc Co., Inc. (The)* | | | 11,624 | |
| | 56,129 | | | | | | | Markforged Holding Corp.* | | | 14,088 | |
| | 407 | | | | | | | Mayville Engineering Co., Inc.* | | | 7,859 | |
| | 9,926 | | | | | | | Middleby Corp. (The)* | | | 1,395,794 | |
| | 385 | | | | | | | Miller Industries Inc. | | | 23,373 | |
| | 4,151 | | | | | | | Mueller Industries Inc. | | | 301,819 | |
| | 5,794 | | | | | | | Mueller Water Products Inc., Class A Shares | | | 124,397 | |
| | 2,153 | | | | | | | NN Inc.* | | | 8,483 | |
| | 2,108 | | | | | | | Nordson Corp. | | | 540,828 | |
| | 108 | | | | | | | Omega Flex Inc. | | | 5,098 | |
| | 9,691 | | | | | | | Oshkosh Corp. | | | 1,045,756 | |
| | 333 | | | | | | | Park-Ohio Holdings Corp. | | | 10,070 | |
| | 19,094 | | | | | | | Pentair PLC | | | 1,693,447 | |
| | 996 | | | | | | | Proto Labs Inc.* | | | 30,458 | |
| | 1,059 | | | | | | | RBC Bearings Inc.* | | | 315,423 | |
| | 1,929 | | | | | | | REV Group Inc. | | | 61,419 | |
| | 1,310 | | | | | | | Shyft Group Inc. (The) | | | 18,589 | |
| | 1,923 | | | | | | | Snap-on Inc. | | | 545,632 | |
| | 1,663 | | | | | | | SPX Technologies Inc.* | | | 271,302 | |
| | 405 | | | | | | | Standex International Corp. | | | 72,353 | |
| | 72,890 | | | | | | | Stratasys Ltd.* | | | 500,754 | |
| | 159 | | | | | | | Taylor Devices Inc.* | | | 9,098 | |
| | 698 | | | | | | | Tennant Co. | | | 68,174 | |
| | 2,496 | | | | | | | Terex Corp. | | | 141,698 | |
| | 2,406 | | | | | | | Timken Co. (The) | | | 203,379 | |
| | 1,948 | | | | | | | Titan International Inc.* | | | 16,227 | |
| | 3,903 | | | | | | | Toro Co. (The) | | | 361,418 | |
| | 3,062 | | | | | | | Trinity Industries Inc. | | | 101,077 | |
| | 5,182 | | | | | | | Twin Disc Inc. | | | 68,195 | |
| | 1,657 | | | | | | | Wabash National Corp. | | | 32,245 | |
| | 1,008 | | | | | | | Watts Water Technologies Inc., Class A Shares | | | 198,274 | |
| | | | | | | | | | | | |
| | | | | | | | Total Machinery | | | 17,957,908 | |
| | | | | | | | | | | | |
|
| Marine Transportation — 0.1% | |
| | 1,644 | | | | | | | Costamare Inc. | | | 23,328 | |
| | 1,622 | | | | | | | Genco Shipping & Trading Ltd. | | | 28,531 | |
See Notes to Financial Statements.
59
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Marine Transportation — 0.1% — (continued) | |
| | 4,409 | | | | | | | Golden Ocean Group Ltd. | | $ | 54,231 | |
| | 1,059 | | | | | | | Himalaya Shipping Ltd.* | | | 8,144 | |
| | 2,184 | | | | | | | Kirby Corp.* | | | 261,905 | |
| | 1,244 | | | | | | | Matson Inc. | | | 172,045 | |
| | 1,037 | | | | | | | Pangaea Logistics Solutions Ltd. | | | 7,000 | |
| | 2,124 | | | | | | | Safe Bulkers Inc. | | | 10,854 | |
| | | | | | | | | | | | |
| | | | | | | | Total Marine Transportation | | | 566,038 | |
| | | | | | | | | | | | |
|
| Passenger Airlines — 0.2% | |
| | 4,635 | | | | | | | Alaska Air Group Inc.* | | | 167,370 | |
| | 518 | | | | | | | Allegiant Travel Co. | | | 21,797 | |
| | 24,417 | | | | | | | American Airlines Group Inc.* | | | 259,309 | |
| | 2,589 | | | | | | | Blade Air Mobility Inc.* | | | 8,104 | |
| | 1,205 | | | | | | | Frontier Group Holdings Inc.* | | | 4,374 | |
| | 2,057 | | | | | | | Hawaiian Holdings Inc.* | | | 35,627 | |
| | 11,112 | | | | | | | JetBlue Airways Corp.* | | | 56,449 | |
| | 14,695 | | | | | | | Joby Aviation Inc.*(a) | | | 73,475 | |
| | 1,508 | | | | | | | SkyWest Inc.* | | | 116,930 | |
| | 3,877 | | | | | | | Spirit Airlines Inc.(a) | | | 10,003 | |
| | 1,332 | | | | | | | Sun Country Airlines Holdings Inc.* | | | 14,625 | |
| | 3,734 | | | | | | | Wheels Up Experience Inc.* | | | 6,609 | |
| | | | | | | | | | | | |
| | | | | | | | Total Passenger Airlines | | | 774,672 | |
| | | | | | | | | | | | |
|
| Professional Services — 2.3% | |
| | 67,811 | | | | | | | Alight Inc., Class A Shares* | | | 505,870 | |
| | 986 | | | | | | | Asure Software Inc.* | | | 8,470 | |
| | 1,076 | | | | | | | Barrett Business Services Inc. | | | 39,285 | |
| | 3,852 | | | | | | | BlackSky Technology Inc.* | | | 4,276 | |
| | 824 | | | | | | | CACI International Inc., Class A Shares* | | | 402,211 | |
| | 1,781 | | | | | | | CBIZ Inc.* | | | 131,082 | |
| | 15,242 | | | | | | | Clarivate PLC* | | | 104,560 | |
| | 1,763 | | | | | | | Concentrix Corp. | | | 132,631 | |
| | 201,844 | | | | | | | Conduent Inc.* | | | 771,044 | |
| | 256 | | | | | | | CRA International Inc. | | | 43,162 | |
| | 1,031 | | | | | | | CSG Systems International Inc. | | | 50,024 | |
| | 5,521 | | | | | | | Dayforce Inc.* | | | 315,636 | |
| | 11,333 | | | | | | | Dun & Bradstreet Holdings Inc. | | | 135,996 | |
| | 5,721 | | | | | | | ExlService Holdings Inc.* | | | 209,045 | |
| | 1,858 | | | | | | | Exponent Inc. | | | 201,166 | |
| | 2,109 | | | | | | | First Advantage Corp.* | | | 40,387 | |
| | 2,038 | | | | | | | FiscalNote Holdings Inc.* | | | 2,649 | |
| | 386 | | | | | | | Forrester Research Inc.* | | | 7,403 | |
| | 463 | | | | | | | Franklin Covey Co.* | | | 18,640 | |
| | 1,304 | | | | | | | FTI Consulting Inc.* | | | 297,716 | |
| | 6,536 | | | | | | | Genpact Ltd. | | | 256,407 | |
| | 791 | | | | | | | Heidrick & Struggles International Inc. | | | 30,533 | |
| | 213 | | | | | | | HireQuest Inc. | | | 3,033 | |
| | 631 | | | | | | | Huron Consulting Group Inc.* | | | 69,688 | |
| | 464 | | | | | | | IBEX Holdings Ltd.* | | | 7,999 | |
| | 703 | | | | | | | ICF International Inc. | | | 116,529 | |
| | 935 | | | | | | | Innodata Inc.* | | | 16,157 | |
| | 1,341 | | | | | | | Insperity Inc. | | | 126,041 | |
| | 34,137 | | | | | | | KBR Inc. | | | 2,367,742 | |
| | 1,238 | | | | | | | Kelly Services Inc., Class A Shares | | | 26,134 | |
| | 683 | | | | | | | Kforce Inc. | | | 44,798 | |
| | 1,920 | | | | | | | Korn Ferry | | | 140,256 | |
| | 4,642 | | | | | | | Legalzoom.com Inc.* | | | 31,287 | |
| | 1,834 | | | | | | | ManpowerGroup Inc. | | | 135,569 | |
See Notes to Financial Statements.
60
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Professional Services — 2.3% — (continued) | |
| | 2,248 | | | | | | | Maximus Inc. | | $ | 207,401 | |
| | 777 | | | | | | | Mistras Group Inc.* | | | 9,293 | |
| | 511 | | | | | | | NV5 Global Inc.* | | | 49,122 | |
| | 1,711 | | | | | | | Parsons Corp.* | | | 163,332 | |
| | 2,471 | | | | | | | Paycor HCM Inc.* | | | 34,989 | |
| | 1,628 | | | | | | | Paylocity Holding Corp.* | | | 262,759 | |
| | 5,395 | | | | | | | Planet Labs PBC* | | | 14,513 | |
| | 1,137 | | | | | | | Resources Connection Inc. | | | 11,859 | |
| | 18,955 | | | | | | | Robert Half Inc. | | | 1,187,910 | |
| | 1,884 | | | | | | | Science Applications International Corp. | | | 246,032 | |
| | 793 | | | | | | | Spire Global Inc.*(a) | | | 6,804 | |
| | 1,252 | | | | | | | Sterling Check Corp.* | | | 20,270 | |
| | 1,213 | | | | | | | TriNet Group Inc. | | | 124,733 | |
| | 920 | | | | | | | TrueBlue Inc.* | | | 7,332 | |
| | 988 | | | | | | | TTEC Holdings Inc. | | | 5,049 | |
| | 4,713 | | | | | | | Upwork Inc.* | | | 45,433 | |
| | 6,163 | | | | | | | Verra Mobility Corp., Class A Shares* | | | 170,160 | |
| | 374 | | | | | | | Willdan Group Inc.* | | | 14,253 | |
| | 31,809 | | | | | | | WNS Holdings Ltd.* | | | 1,883,093 | |
| | | | | | | | | | | | |
| | | | | | | | Total Professional Services | | | 11,257,763 | |
| | | | | | | | | | | | |
|
| Trading Companies & Distributors — 2.0% | |
| | 19,157 | | | | | | | AerCap Holdings NV | | | 1,866,275 | |
| | 3,842 | | | | | | | Air Lease Corp., Class A Shares | | | 177,769 | |
| | 713 | | | | | | | Alta Equipment Group Inc. | | | 4,806 | |
| | 4,947 | | | | | | | Applied Industrial Technologies Inc. | | | 1,014,729 | |
| | 2,356 | | | | | | | Beacon Roofing Supply Inc.* | | | 213,454 | |
| | 316 | | | | | | | BlueLinx Holdings Inc.* | | | 31,802 | |
| | 1,483 | | | | | | | Boise Cascade Co. | | | 201,124 | |
| | 6,187 | | | | | | | Core & Main Inc., Class A Shares* | | | 297,162 | |
| | 2,528 | | | | | | | Custom Truck One Source Inc.* | | | 10,365 | |
| | 434 | | | | | | | Distribution Solutions Group Inc.* | | | 16,153 | |
| | 3,738 | | | | | | | DNOW Inc.* | | | 48,669 | |
| | 477 | | | | | | | DXP Enterprises Inc.* | | | 26,235 | |
| | 261 | | | | | | | EVI Industries Inc. | | | 4,314 | |
| | 20,232 | | | | | | | FTAI Aviation Ltd. | | | 2,585,852 | |
| | 1,307 | | | | | | | GATX Corp. | | | 184,418 | |
| | 459 | | | | | | | Global Industrial Co. | | | 15,376 | |
| | 1,509 | | | | | | | GMS Inc.* | | | 130,966 | |
| | 1,122 | | | | | | | H&E Equipment Services Inc. | | | 54,024 | |
| | 6,928 | | | | | | | Herc Holdings Inc. | | | 1,014,051 | |
| | 1,643 | | | | | | | Hudson Technologies Inc.* | | | 13,505 | |
| | 144 | | | | | | | Karat Packaging Inc. | | | 3,649 | |
| | 866 | | | | | | | McGrath RentCorp | | | 93,658 | |
| | 2,867 | | | | | | | MRC Global Inc.* | | | 37,730 | |
| | 1,657 | | | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 136,272 | |
| | 2,226 | | | | | | | Rush Enterprises Inc., Class A Shares | | | 117,310 | |
| | 289 | | | | | | | Rush Enterprises Inc., Class B Shares | | | 13,594 | |
| | 1,657 | | | | | | | SiteOne Landscape Supply Inc.* | | | 235,062 | |
| | 751 | | | | | | | Titan Machinery Inc.* | | | 11,348 | |
| | 336 | | | | | | | Transcat Inc.* | | | 41,482 | |
| | 1,285 | | | | | | | Watsco Inc. | | | 610,915 | |
| | 1,636 | | | | | | | WESCO International Inc. | | | 270,562 | |
| | 135 | | | | | | | Willis Lease Finance Corp. | | | 14,606 | |
| | 1,804 | | | | | | | Xometry Inc., Class A Shares* | | | 35,431 | |
| | | | | | | | | | | | |
| | | | | | | | Total Trading Companies & Distributors | | | 9,532,668 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
61
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 19.6% — (continued) | |
|
| Transportation Infrastructure — 0.0%@ | |
| | 725 | | | | | | | Sky Harbour Group Corp.*(a) | | $ | 8,954 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INDUSTRIALS | | | 93,995,528 | |
| | | | | | | | | | | | |
|
| INFORMATION TECHNOLOGY — 15.1% | |
|
| Communications Equipment — 2.1% | |
| | 2,885 | | | | | | | ADTRAN Holdings Inc.* | | | 16,098 | |
| | 20,056 | | | | | | | Applied Optoelectronics Inc.* | | | 227,636 | |
| | 458 | | | | | | | Aviat Networks Inc.* | | | 12,572 | |
| | 24,694 | | | | | | | Calix Inc.* | | | 919,604 | |
| | 49,300 | | | | | | | Ciena Corp.* | | | 2,842,145 | |
| | 426 | | | | | | | Clearfield Inc.* | | | 15,890 | |
| | 7,895 | | | | | | | CommScope Holding Co., Inc.* | | | 30,475 | |
| | 1,322 | | | | | | | Digi International Inc.* | | | 38,946 | |
| | 4,439 | | | | | | | Extreme Networks Inc.* | | | 69,914 | |
| | 9,939 | | | | | | | F5 Inc.* | | | 2,019,108 | |
| | 4,005 | | | | | | | Harmonic Inc.* | | | 57,872 | |
| | 7,772 | | | | | | | Infinera Corp.*(a) | | | 48,886 | |
| | 11,983 | | | | | | | Juniper Networks Inc. | | | 465,899 | |
| | 15,486 | | | | | | | Lumentum Holdings Inc.* | | | 892,148 | |
| | 997 | | | | | | | NETGEAR Inc.* | | | 16,181 | |
| | 2,308 | | | | | | | NetScout Systems Inc.* | | | 49,576 | |
| | 233,804 | | | | | | | Ribbon Communications Inc.* | | | 797,272 | |
| | 153 | | | | | | | Ubiquiti Inc. | | | 29,609 | |
| | 73,798 | | | | | | | ViaSat Inc.* | | | 1,158,629 | |
| | 50,639 | | | | | | | Viavi Solutions Inc.* | | | 436,002 | |
| | | | | | | | | | | | |
| | | | | | | | Total Communications Equipment | | | 10,144,462 | |
| | | | | | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 3.0% | |
| | 742 | | | | | | | 908 Devices Inc.* | | | 2,931 | |
| | 1,374 | | | | | | | Advanced Energy Industries Inc. | | | 145,768 | |
| | 794 | | | | | | | Aeva Technologies Inc.* | | | 2,620 | |
| | 3,752 | | | | | | | Arlo Technologies Inc.* | | | 44,049 | |
| | 2,022 | | | | | | | Arrow Electronics Inc.* | | | 273,132 | |
| | 19,358 | | | | | | | Avnet Inc. | | | 1,068,174 | |
| | 1,083 | | | | | | | Badger Meter Inc. | | | 224,116 | |
| | 83 | | | | | | | Bel Fuse Inc., Class A Shares | | | 7,151 | |
| | 386 | | | | | | | Bel Fuse Inc., Class B Shares | | | 26,182 | |
| | 9,179 | | | | | | | Belden Inc. | | | 984,723 | |
| | 1,380 | | | | | | | Benchmark Electronics Inc. | | | 58,664 | |
| | 13,110 | | | | | | | Celestica Inc.* | | | 667,561 | |
| | 138 | | | | | | | Climb Global Solutions Inc. | | | 13,107 | |
| | 6,376 | | | | | | | Cognex Corp. | | | 257,463 | |
| | 12,257 | | | | | | | Coherent Corp.* | | | 955,433 | |
| | 1,810 | | | | | | | Crane NXT Co. | | | 106,338 | |
| | 1,167 | | | | | | | CTS Corp. | | | 57,475 | |
| | 1,404 | | | | | | | Daktronics Inc.* | | | 20,288 | |
| | 948 | | | | | | | ePlus Inc.* | | | 90,970 | |
| | 4,084 | | | | | | | Evolv Technologies Holdings Inc.* | | | 16,091 | |
| | 4,996 | | | | | | | Fabrinet* | | | 1,217,275 | |
| | 684 | | | | | | | FARO Technologies Inc.* | | | 12,312 | |
| | 66,469 | | | | | | | Innoviz Technologies Ltd.*(a) | | | 43,803 | |
| | 9,238 | | | | | | | Insight Enterprises Inc.* | | | 2,005,293 | |
| | 5,194 | | | | | | | IPG Photonics Corp.* | | | 355,114 | |
| | 1,379 | | | | | | | Iteris Inc.* | | | 9,722 | |
| | 7,305 | | | | | | | Itron Inc.* | | | 746,717 | |
See Notes to Financial Statements.
62
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.1% — (continued) | |
|
| Electronic Equipment, Instruments & Components — 3.0% — (continued) | |
| | 4,376 | | | | | | | Jabil Inc. | | $ | 478,209 | |
| | 906 | | | | | | | Kimball Electronics Inc.* | | | 16,716 | |
| | 3,334 | | | | | | | Knowles Corp.* | | | 61,512 | |
| | 3,888 | | | | | | | Lightwave Logic Inc.* | | | 11,470 | |
| | 910 | | | | | | | Littelfuse Inc. | | | 247,702 | |
| | 1,435 | | | | | | | Methode Electronics Inc. | | | 14,953 | |
| | 5,919 | | | | | | | MicroVision Inc.*(a) | | | 5,612 | |
| | 7,060 | | | | | | | Mirion Technologies Inc., Class A Shares* | | | 76,530 | |
| | 1,264 | | | | | | | Napco Security Technologies Inc. | | | 58,624 | |
| | 17,557 | | | | | | | nLight Inc.* | | | 209,631 | |
| | 1,321 | | | | | | | Novanta Inc.* | | | 242,113 | |
| | 5,797 | | | | | | | OSI Systems Inc.* | | | 868,796 | |
| | 1,604 | | | | | | | Ouster Inc.* | | | 11,372 | |
| | 1,255 | | | | | | | PAR Technology Corp.* | | | 67,758 | |
| | 429 | | | | | | | PC Connection Inc. | | | 31,351 | |
| | 1,034 | | | | | | | Plexus Corp.* | | | 132,466 | |
| | 3,342 | | | | | | | Powerfleet Inc.* | | | 16,677 | |
| | 409 | | | | | | | Richardson Electronics Ltd. | | | 4,847 | |
| | 689 | | | | | | | Rogers Corp.* | | | 73,902 | |
| | 1,972 | | | | | | | Sanmina Corp.* | | | 136,817 | |
| | 977 | | | | | | | ScanSource Inc.* | | | 49,768 | |
| | 7,000 | | | | | | | SmartRent Inc., Class A Shares* | | | 11,900 | |
| | 11,322 | | | | | | | TD SYNNEX Corp. | | | 1,374,717 | |
| | 1,175 | | | | | | | Teledyne Technologies Inc.* | | | 508,540 | |
| | 3,519 | | | | | | | TTM Technologies Inc.* | | | 68,445 | |
| | 4,779 | | | | | | | Vishay Intertechnology Inc. | | | 96,297 | |
| | 436 | | | | | | | Vishay Precision Group Inc.* | | | 12,038 | |
| | 5,639 | | | | | | | Vontier Corp. | | | 197,534 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electronic Equipment, Instruments & Components | | | 14,498,769 | |
| | | | | | | | | | | | |
|
| IT Services — 1.0% | |
| | 4,297 | | | | | | | Amdocs Ltd. | | | 373,710 | |
| | 3,589 | | | | | | | Applied Digital Corp.*(a) | | | 13,100 | |
| | 1,727 | | | | | | | ASGN Inc.* | | | 166,068 | |
| | 1,475 | | | | | | | Backblaze Inc., Class A Shares* | | | 9,012 | |
| | 2,871 | | | | | | | BigBear.ai Holdings Inc.*(a) | | | 4,565 | |
| | 2,700 | | | | | | | BigCommerce Holdings Inc.* | | | 15,822 | |
| | 6,554 | | | | | | | Core Scientific Inc.* | | | 67,637 | |
| | 1,382 | | | | | | | Couchbase Inc.* | | | 27,115 | |
| | 2,433 | | | | | | | DigitalOcean Holdings Inc.* | | | 91,067 | |
| | 6,946 | | | | | | | DXC Technology Co.* | | | 143,574 | |
| | 4,444 | | | | | | | Fastly Inc., Class A Shares* | | | 26,753 | |
| | 1,565 | | | | | | | Globant SA* | | | 316,506 | |
| | 2,238 | | | | | | | Grid Dynamics Holdings Inc.* | | | 31,153 | |
| | 959 | | | | | | | Hackett Group Inc. (The) | | | 25,413 | |
| | 1,768 | | | | | | | Information Services Group Inc. | | | 6,188 | |
| | 79,437 | | | | | | | Kyndryl Holdings Inc.* | | | 1,881,863 | |
| | 1,290 | | | | | | | Perficient Inc.* | | | 96,969 | |
| | 1,997 | | | | | | | Rackspace Technology Inc.* | | | 4,593 | |
| | 2,258 | | | | | | | Squarespace Inc., Class A Shares* | | | 102,694 | |
| | 3,012 | | | | | | | Thoughtworks Holding Inc.* | | | 13,102 | |
| | 342 | | | | | | | Tucows Inc., Class A Shares* | | | 7,322 | |
| | 80,515 | | | | | | | Unisys Corp.* | | | 445,248 | |
| | 4,730 | | | | | | | Wix.com Ltd.* | | | 788,113 | |
| | | | | | | | | | | | |
| | | | | | | | Total IT Services | | | 4,657,587 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
63
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.1% — (continued) | |
|
| Semiconductors & Semiconductor Equipment — 3.1% | |
| | 1,976 | | | | | | | ACM Research Inc., Class A Shares* | | $ | 35,647 | |
| | 940 | | | | | | | Aehr Test Systems* | | | 14,297 | |
| | 2,764 | | | | | | | Allegro MicroSystems Inc.* | | | 67,801 | |
| | 906 | | | | | | | Alpha & Omega Semiconductor Ltd.* | | | 37,880 | |
| | 1,437 | | | | | | | Ambarella Inc.* | | | 85,789 | |
| | 31,478 | | | | | | | Amkor Technology Inc. | | | 1,035,626 | |
| | 822 | | | | | | | Astera Labs Inc.*(a) | | | 35,395 | |
| | 1,203 | | | | | | | Axcelis Technologies Inc.* | | | 131,524 | |
| | 12,082 | | | | | | | CEVA Inc.* | | | 289,243 | |
| | 1,989 | | | | | | | Cirrus Logic Inc.* | | | 289,777 | |
| | 1,728 | | | | | | | Cohu Inc.* | | | 46,501 | |
| | 15,890 | | | | | | | Credo Technology Group Holding Ltd.* | | | 554,720 | |
| | 1,677 | | | | | | | Diodes Inc.* | | | 116,870 | |
| | 1,101 | | | | | | | Everspin Technologies Inc.* | | | 6,133 | |
| | 15,973 | | | | | | | FormFactor Inc.* | | | 779,003 | |
| | 15,234 | | | | | | | Ichor Holdings Ltd.* | | | 472,254 | |
| | 832 | | | | | | | Impinj Inc.* | | | 139,859 | |
| | 47,006 | | | | | | | indie Semiconductor Inc., Class A Shares* | | | 195,075 | |
| | 2,054 | | | | | | | Kulicke & Soffa Industries Inc. | | | 89,986 | |
| | 5,054 | | | | | | | Lattice Semiconductor Corp.* | | | 239,357 | |
| | 13,193 | | | | | | | MACOM Technology Solutions Holdings Inc.* | | | 1,441,071 | |
| | 2,761 | | | | | | | MaxLinear Inc., Class A Shares* | | | 41,912 | |
| | 2,489 | | | | | | | MKS Instruments Inc. | | | 296,764 | |
| | 4,723 | | | | | | | Navitas Semiconductor Corp., Class A Shares* | | | 14,263 | |
| | 4,440 | | | | | | | Nova Ltd.* | | | 992,562 | |
| | 165 | | | | | | | NVE Corp. | | | 13,819 | |
| | 1,823 | | | | | | | Onto Innovation Inc.* | | | 388,700 | |
| | 1,170 | | | | | | | PDF Solutions Inc.* | | | 36,914 | |
| | 2,230 | | | | | | | Photronics Inc.* | | | 57,668 | |
| | 2,059 | | | | | | | Power Integrations Inc. | | | 138,159 | |
| | 3,585 | | | | | | | Qorvo Inc.* | | | 415,466 | |
| | 628 | | | | | | | QuickLogic Corp.* | | | 5,275 | |
| | 39,199 | | | | | | | Rambus Inc.* | | | 1,752,979 | |
| | 7,204 | | | | | | | Rigetti Computing Inc.* | | | 6,602 | |
| | 15,666 | | | | | | | Semtech Corp.* | | | 686,484 | |
| | 1,184 | | | | | | | Silicon Laboratories Inc.* | | | 140,150 | |
| | 679 | | | | | | | SiTime Corp.* | | | 98,224 | |
| | 528 | | | | | | | SkyWater Technology Inc.* | | | 4,736 | |
| | 2,065 | | | | | | | SMART Global Holdings Inc.* | | | 42,787 | |
| | 10,808 | | | | | | | Synaptics Inc.* | | | 879,987 | |
| | 1,561 | | | | | | | Ultra Clean Holdings Inc.* | | | 58,850 | |
| | 1,728 | | | | | | | Universal Display Corp. | | | 334,748 | |
| | 55,402 | | | | | | | Veeco Instruments Inc.* | | | 1,966,217 | |
| | 38,542 | | | | | | | Wolfspeed Inc.* | | | 375,785 | |
| | | | | | | | | | | | |
| | | | | | | | Total Semiconductors & Semiconductor Equipment | | | 14,852,859 | |
| | | | | | | | | | | | |
|
| Software — 5.7% | |
| | 4,737 | | | | | | | 8x8 Inc.* | | | 8,906 | |
| | 2,712 | | | | | | | A10 Networks Inc. | | | 37,344 | |
| | 22,996 | | | | | | | ACI Worldwide Inc.* | | | 1,158,079 | |
| | 51,432 | | | | | | | Adeia Inc. | | | 648,043 | |
| | 832 | | | | | | | Agilysys Inc.* | | | 94,099 | |
| | 1,817 | | | | | | | Alarm.com Holdings Inc.* | | | 108,184 | |
| | 1,579 | | | | | | | Alkami Technology Inc.* | | | 52,644 | |
| | 2,107 | | | | | | | Altair Engineering Inc., Class A Shares* | | | 190,389 | |
See Notes to Financial Statements.
64
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.1% — (continued) | |
|
| Software — 5.7% — (continued) | |
| | 965 | | | | | | | American Software Inc., Class A Shares | | $ | 11,107 | |
| | 3,137 | | | | | | | Amplitude Inc., Class A Shares* | | | 27,637 | |
| | 817 | | | | | | | Appfolio Inc., Class A Shares* | | | 189,536 | |
| | 1,532 | | | | | | | Appian Corp., Class A Shares* | | | 49,698 | |
| | 996 | | | | | | | Arteris Inc.* | | | 8,546 | |
| | 2,903 | | | | | | | Asana Inc., Class A Shares* | | | 40,816 | |
| | 993 | | | | | | | Aspen Technology Inc.* | | | 232,501 | |
| | 34,016 | | | | | | | Aurora Innovation Inc., Class A Shares* | | | 158,855 | |
| | 4,835 | | | | | | | AvePoint Inc.* | | | 55,844 | |
| | 5,256 | | | | | | | Bentley Systems Inc., Class B Shares | | | 270,526 | |
| | 3,831 | | | | | | | BILL Holdings Inc.* | | | 209,019 | |
| | 4,799 | | | | | | | Bit Digital Inc.* | | | 15,453 | |
| | 1,553 | | | | | | | Blackbaud Inc.* | | | 129,831 | |
| | 2,155 | | | | | | | BlackLine Inc.* | | | 106,780 | |
| | 8,582 | | | | | | | Blend Labs Inc., Class A Shares* | | | 31,496 | |
| | 19,019 | | | | | | | Box Inc., Class A Shares* | | | 620,019 | |
| | 1,893 | | | | | | | Braze Inc., Class A Shares* | | | 84,769 | |
| | 2,932 | | | | | | | C3.ai Inc., Class A Shares* | | | 68,433 | |
| | 119,876 | | | | | | | CCC Intelligent Solutions Holdings Inc.* | | | 1,292,263 | |
| | 1,428 | | | | | | | Cerence Inc.* | | | 4,712 | |
| | 6,348 | | | | | | | Cipher Mining Inc.* | | | 22,281 | |
| | 8,178 | | | | | | | Cleanspark Inc.* | | | 87,423 | |
| | 3,341 | | | | | | | Clear Secure Inc., Class A Shares | | | 101,533 | |
| | 5,147 | | | | | | | Clearwater Analytics Holdings Inc., Class A Shares* | | | 127,543 | |
| | 83,815 | | | | | | | Cognyte Software Ltd.* | | | 642,023 | |
| | 8,053 | | | | | | | CommVault Systems Inc.* | | | 1,251,436 | |
| | 8,988 | | | | | | | Confluent Inc., Class A Shares* | | | 190,725 | |
| | 750 | | | | | | | Consensus Cloud Solutions Inc.* | | | 18,068 | |
| | 934 | | | | | | | CS Disco Inc.* | | | 5,165 | |
| | 41 | | | | | | | Daily Journal Corp.* | | | 20,382 | |
| | 294 | | | | | | | Dave Inc.* | | | 11,054 | |
| | 621 | | | | | | | Digimarc Corp.* | | | 17,816 | |
| | 3,618 | | | | | | | Digital Turbine Inc.* | | | 11,650 | |
| | 2,206 | | | | | | | Dolby Laboratories Inc., Class A Shares | | | 157,420 | |
| | 1,305 | | | | | | | Domo Inc., Class B Shares* | | | 9,748 | |
| | 5,417 | | | | | | | DoubleVerify Holdings Inc.* | | | 106,715 | |
| | 9,225 | | | | | | | Dropbox Inc., Class A Shares* | | | 231,917 | |
| | 5,927 | | | | | | | D-Wave Quantum Inc.* | | | 5,986 | |
| | 34,221 | | | | | | | Dynatrace Inc.* | | | 1,732,267 | |
| | 5,732 | | | | | | | E2open Parent Holdings Inc.* | | | 25,679 | |
| | 816 | | | | | | | eGain Corp.* | | | 5,851 | |
| | 3,026 | | | | | | | Elastic NV* | | | 230,551 | |
| | 1,989 | | | | | | | Enfusion Inc., Class A Shares* | | | 16,489 | |
| | 1,579 | | | | | | | Envestnet Inc.* | | | 99,082 | |
| | 685 | | | | | | | EverCommerce Inc.* | | | 7,336 | |
| | 2,761 | | | | | | | Five9 Inc.* | | | 89,042 | |
| | 7,513 | | | | | | | Freshworks Inc., Class A Shares* | | | 87,752 | |
| | 58,346 | | | | | | | Gen Digital Inc. | | | 1,543,835 | |
| | 4,408 | | | | | | | Gitlab Inc., Class A Shares* | | | 208,939 | |
| | 3,048 | | | | | | | Guidewire Software Inc.* | | | 453,451 | |
| | 3,620 | | | | | | | HashiCorp Inc., Class A Shares* | | | 122,863 | |
| | 2,947 | | | | | | | Hut 8 Corp.*(a) | | | 29,794 | |
| | 1,036 | | | | | | | iLearningEngines Holdings Inc.* | | | 1,440 | |
| | 2,401 | | | | | | | Informatica Inc., Class A Shares* | | | 59,809 | |
See Notes to Financial Statements.
65
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.1% — (continued) | |
|
| Software — 5.7% — (continued) | |
| | 836 | | | | | | | Instructure Holdings Inc.* | | $ | 19,587 | |
| | 1,442 | | | | | | | Intapp Inc.* | | | 66,620 | |
| | 967 | | | | | | | InterDigital Inc. | | | 133,988 | |
| | 2,598 | | | | | | | Jamf Holding Corp.* | | | 48,063 | |
| | 3,036 | | | | | | | Kaltura Inc.* | | | 4,129 | |
| | 80,260 | | | | | | | Lightspeed Commerce Inc.*(a) | | | 1,033,749 | |
| | 2,470 | | | | | | | LiveRamp Holdings Inc.* | | | 64,022 | |
| | 2,271 | | | | | | | Manhattan Associates Inc.* | | | 600,521 | |
| | 10,087 | | | | | | | Marathon Digital Holdings Inc.* | | | 168,453 | |
| | 9,476 | | | | | | | Matterport Inc.* | | | 42,926 | |
| | 971 | | | | | | | MeridianLink Inc.* | | | 22,168 | |
| | 1,693 | | | | | | | Mitek Systems Inc.* | | | 15,779 | |
| | 2,392 | | | | | | | N-able Inc.* | | | 30,761 | |
| | 3,069 | | | | | | | nCino Inc.* | | | 91,947 | |
| | 5,425 | | | | | | | NCR Voyix Corp.* | | | 73,183 | |
| | 2,530 | | | | | | | NextNav Inc.* | | | 19,405 | |
| | 9,054 | | | | | | | Nutanix Inc., Class A Shares* | | | 572,122 | |
| | 3,960 | | | | | | | Olo Inc., Class A Shares* | | | 20,790 | |
| | 1,099 | | | | | | | ON24 Inc.* | | | 7,089 | |
| | 26,085 | | | | | | | OneSpan Inc.* | | | 420,490 | |
| | 14,740 | | | | | | | Onestream Inc., Class A Shares* | | | 456,940 | |
| | 702 | | | | | | | Ooma Inc.* | | | 7,301 | |
| | 1,478 | | | | | | | Pagaya Technologies Ltd., Class A Shares* | | | 22,259 | |
| | 3,134 | | | | | | | PagerDuty Inc.* | | | 61,991 | |
| | 1,588 | | | | | | | Pegasystems Inc. | | | 112,557 | |
| | 4,648 | | | | | | | Porch Group Inc.* | | | 6,693 | |
| | 2,077 | | | | | | | PowerSchool Holdings Inc., Class A Shares* | | | 47,169 | |
| | 19,009 | | | | | | | Procore Technologies Inc.* | | | 1,126,663 | |
| | 1,553 | | | | | | | Progress Software Corp. | | | 90,307 | |
| | 1,778 | | | | | | | PROS Holdings Inc.* | | | 35,791 | |
| | 2,197 | | | | | | | Q2 Holdings Inc.* | | | 163,039 | |
| | 1,376 | | | | | | | Qualys Inc.* | | | 172,234 | |
| | 15,923 | | | | | | | Radware Ltd.* | | | 347,121 | |
| | 2,328 | | | | | | | Rapid7 Inc.* | | | 88,022 | |
| | 472 | | | | | | | Red Violet Inc.* | | | 13,641 | |
| | 4,614 | | | | | | | Rekor Systems Inc.* | | | 5,768 | |
| | 440 | | | | | | | ReposiTrak Inc. | | | 8,558 | |
| | 1,777 | | | | | | | Rimini Street Inc.* | | | 3,128 | |
| | 2,987 | | | | | | | RingCentral Inc., Class A Shares* | | | 99,557 | |
| | 10,007 | | | | | | | Riot Platforms Inc.* | | | 75,353 | |
| | 37,270 | | | | | | | Samsara Inc., Class A Shares* | | | 1,530,679 | |
| | 1,094 | | | | | | | Sapiens International Corp. NV | | | 39,811 | �� |
| | 1,551 | | | | | | | SEMrush Holdings Inc., Class A Shares* | | | 21,311 | |
| | 8,646 | | | | | | | SentinelOne Inc., Class A Shares* | | | 203,700 | |
| | 38,428 | | | | | | | Smartsheet Inc., Class A Shares* | | | 1,875,286 | |
| | 2,185 | | | | | | | SolarWinds Corp. | | | 27,946 | |
| | 10,516 | | | | | | | SoundHound AI Inc., Class A Shares*(a) | | | 51,423 | |
| | 355 | | | | | | | SoundThinking Inc.* | | | 5,006 | |
| | 3,830 | | | | | | | Sprinklr Inc., Class A Shares* | | | 34,355 | |
| | 1,917 | | | | | | | Sprout Social Inc., Class A Shares* | | | 59,619 | |
| | 1,369 | | | | | | | SPS Commerce Inc.* | | | 273,444 | |
| | 2,026 | | | | | | | Telos Corp.* | | | 7,395 | |
| | 4,361 | | | | | | | Tenable Holdings Inc.* | | | 180,022 | |
| | 3,497 | | | | | | | Teradata Corp.* | | | 98,755 | |
| | 8,459 | | | | | | | Terawulf Inc.* | | | 36,881 | |
See Notes to Financial Statements.
66
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.1% — (continued) | |
|
| Software — 5.7% — (continued) | |
| | 27,763 | | | | | | | UiPath Inc., Class A Shares* | | $ | 357,587 | |
| | 11,056 | | | | | | | Unity Software Inc.* | | | 180,987 | |
| | 10,822 | | | | | | | Varonis Systems Inc., Class B Shares* | | | 612,525 | |
| | 21,707 | | | | | | | Verint Systems Inc.* | | | 684,856 | |
| | 2,011 | | | | | | | Vertex Inc., Class A Shares* | | | 77,806 | |
| | 490 | | | | | | | Viant Technology Inc., Class A Shares* | | | 5,454 | |
| | 1,125 | | | | | | | Weave Communications Inc.* | | | 12,690 | |
| | 6,797 | | | | | | | WM Technology Inc.* | | | 6,725 | |
| | 1,884 | | | | | | | Workiva Inc., Class A Shares* | | | 147,272 | |
| | 40,152 | | | | | | | Xperi Inc.* | | | 354,141 | |
| | 4,069 | | | | | | | Yext Inc.* | | | 20,711 | |
| | 6,111 | | | | | | | Zeta Global Holdings Corp., Class A Shares* | | | 161,392 | |
| | 4,703 | | | | | | | Zuora Inc., Class A Shares* | | | 41,339 | |
| | | | | | | | | | | | |
| | | | | | | | Total Software | | | 27,147,596 | |
| | | | | | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 0.2% | |
| | 855 | | | | | | | CompoSecure Inc., Class A Shares | | | 10,029 | |
| | 1,437 | | | | | | | Corsair Gaming Inc.* | | | 10,016 | |
| | 236 | | | | | | | CPI Card Group Inc.* | | | 6,759 | |
| | 967 | | | | | | | Diebold Nixdorf Inc.* | | | 43,341 | |
| | 1,829 | | | | | | | Eastman Kodak Co.* | | | 9,657 | |
| | 884 | | | | | | | Immersion Corp. | | | 8,310 | |
| | 7,315 | | | | | | | IonQ Inc.*(a) | | | 54,277 | |
| | 10,786 | | | | | | | Pure Storage Inc., Class A Shares* | | | 553,214 | |
| | 15,327 | | | | | | | Quantum Corp.* | | | 47,207 | |
| | 602 | | | | | | | Turtle Beach Corp.* | | | 9,403 | |
| | 4,412 | | | | | | | Xerox Holdings Corp. | | | 49,988 | |
| | | | | | | | | | | | |
| | | | | | | | Total Technology Hardware, Storage & Peripherals | | | 802,201 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INFORMATION TECHNOLOGY | | | 72,103,474 | |
| | | | | | | | | | | | |
|
| MATERIALS — 4.6% | |
|
| Chemicals — 2.1% | |
| | 900 | | | | | | | AdvanSix Inc. | | | 26,604 | |
| | 1,145 | | | | | | | American Vanguard Corp. | | | 6,572 | |
| | 39,960 | | | | | | | Arcadium Lithium PLC* | | | 108,292 | |
| | 1,211 | | | | | | | Arq Inc.* | | | 8,259 | |
| | 1,859 | | | | | | | Ashland Inc. | | | 166,380 | |
| | 2,111 | | | | | | | ASP Isotopes Inc.* | | | 5,003 | |
| | 2,013 | | | | | | | Aspen Aerogels Inc.* | | | 57,753 | |
| | 62,319 | | | | | | | Avient Corp. | | | 3,061,732 | |
| | 57,350 | | | | | | | Axalta Coating Systems Ltd.* | | | 2,093,275 | |
| | 1,172 | | | | | | | Balchem Corp. | | | 207,479 | |
| | 2,018 | | | | | | | Cabot Corp. | | | 212,112 | |
| | 5,647 | | | | | | | Chemours Co. (The) | | | 109,778 | |
| | 310 | | | | | | | Core Molding Technologies Inc.* | | | 5,533 | |
| | 4,203 | | | | | | | Ecovyst Inc.* | | | 30,178 | |
| | 45,733 | | | | | | | Element Solutions Inc. | | | 1,222,900 | |
| | 4,627 | | | | | | | FMC Corp. | | | 298,812 | |
| | 683 | | | | | | | Hawkins Inc. | | | 86,516 | |
| | 2,025 | | | | | | | HB Fuller Co. | | | 173,461 | |
| | 6,007 | | | | | | | Huntsman Corp. | | | 132,454 | |
| | 1,334 | | | | | | | Ingevity Corp.* | | | 52,733 | |
| | 918 | | | | | | | Innospec Inc. | | | 105,809 | |
| | 517 | | | | | | | Intrepid Potash Inc.* | | | 12,760 | |
| | 688 | | | | | | | Koppers Holdings Inc. | | | 27,231 | |
See Notes to Financial Statements.
67
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| MATERIALS — 4.6% — (continued) | |
|
| Chemicals — 2.1% — (continued) | |
| | 772 | | | | | | | Kronos Worldwide Inc. | | $ | 8,924 | |
| | 1,941 | | | | | | | LSB Industries Inc.* | | | 15,392 | |
| | 1,886 | | | | | | | Mativ Holdings Inc. | | | 35,759 | |
| | 1,210 | | | | | | | Minerals Technologies Inc. | | | 93,291 | |
| | 11,926 | | | | | | | Mosaic Co. (The) | | | 340,726 | |
| | 250 | | | | | | | NewMarket Corp. | | | 143,442 | |
| | 411 | | | | | | | Northern Technologies International Corp. | | | 5,401 | |
| | 4,485 | | | | | | | Olin Corp. | | | 195,860 | |
| | 2,044 | | | | | | | Orion SA | | | 38,121 | |
| | 4,991 | | | | | | | Perimeter Solutions SA* | | | 58,445 | |
| | 4,506 | | | | | | | PureCycle Technologies Inc.*(a) | | | 27,487 | |
| | 526 | | | | | | | Quaker Chemical Corp. | | | 89,036 | |
| | 2,153 | | | | | | | Rayonier Advanced Materials Inc.* | | | 17,181 | |
| | 4,742 | | | | | | | RPM International Inc. | | | 551,257 | |
| | 1,601 | | | | | | | Scotts Miracle-Gro Co. (The) | | | 113,639 | |
| | 1,567 | | | | | | | Sensient Technologies Corp. | | | 121,975 | |
| | 810 | | | | | | | Stepan Co. | | | 62,880 | |
| | 4,503 | | | | | | | Tronox Holdings PLC | | | 62,727 | |
| | 115 | | | | | | | Valhi Inc. | | | 3,359 | |
| | | | | | | | | | | | |
| | | | | | | | Total Chemicals | | | 10,196,528 | |
| | | | | | | | | | | | |
|
| Construction Materials — 0.1% | |
| | 1,269 | | | | | | | Eagle Materials Inc. | | | 327,085 | |
| | 2,113 | | | | | | | Knife River Corp.* | | | 166,652 | |
| | 232 | | | | | | | Smith-Midland Corp.* | | | 8,053 | |
| | 4,472 | | | | | | | Summit Materials Inc., Class A Shares* | | | 181,116 | |
| | 390 | | | | | | | United States Lime & Minerals Inc. | | | 31,874 | |
| | | | | | | | | | | | |
| | | | | | | | Total Construction Materials | | | 714,780 | |
| | | | | | | | | | | | |
|
| Containers & Packaging — 1.3% | |
| | 2,456 | | | | | | | AptarGroup Inc. | | | 376,235 | |
| | 4,616 | | | | | | | Ardagh Metal Packaging SA | | | 16,525 | |
| | 9,890 | | | | | | | Avery Dennison Corp. | | | 2,194,096 | |
| | 14,729 | | | | | | | Berry Global Group Inc. | | | 1,014,239 | |
| | 4,352 | | | | | | | Crown Holdings Inc. | | | 393,464 | |
| | 11,331 | | | | | | | Graphic Packaging Holding Co. | | | 339,137 | |
| | 940 | | | | | | | Greif Inc., Class A Shares | | | 58,769 | |
| | 197 | | | | | | | Greif Inc., Class B Shares | | | 13,278 | |
| | 1,358 | | | | | | | Myers Industries Inc. | | | 20,764 | |
| | 5,453 | | | | | | | O-I Glass Inc.* | | | 69,198 | |
| | 3,308 | | | | | | | Packaging Corp. of America | | | 693,158 | |
| | 1,500 | | | | | | | Pactiv Evergreen Inc. | | | 17,700 | |
| | 1,487 | | | | | | | Ranpak Holdings Corp., Class A Shares* | | | 10,543 | |
| | 5,106 | | | | | | | Sealed Air Corp. | | | 178,455 | |
| | 3,047 | | | | | | | Silgan Holdings Inc. | | | 159,267 | |
| | 9,547 | | | | | | | Smurfit WestRock PLC | | | 452,719 | |
| | 3,666 | | | | | | | Sonoco Products Co. | | | 207,385 | |
| | 1,594 | | | | | | | TriMas Corp. | | | 40,663 | |
| | | | | | | | | | | | |
| | | | | | | | Total Containers & Packaging | | | 6,255,595 | |
| | | | | | | | | | | | |
|
| Metals & Mining — 1.0% | |
| | 9,364 | | | | | | | Alcoa Corp. | | | 300,584 | |
| | 413 | | | | | | | Alpha Metallurgical Resources Inc. | | | 98,769 | |
| | 641 | | | | | | | Arch Resources Inc. | | | 87,452 | |
| | 4,572 | | | | | | | ATI Inc.* | | | 292,059 | |
| | 445 | | | | | | | Caledonia Mining Corp. PLC | | | 5,776 | |
See Notes to Financial Statements.
68
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| MATERIALS — 4.6% — (continued) | |
|
| Metals & Mining — 1.0% — (continued) | |
| | 1,731 | | | | | | | Carpenter Technology Corp. | | $ | 250,597 | |
| | 2,063 | | | | | | | Century Aluminum Co.* | | | 29,625 | |
| | 78,563 | | | | | | | Cleveland-Cliffs Inc.* | | | 1,026,033 | |
| | 14,565 | | | | | | | Coeur Mining Inc.* | | | 89,429 | |
| | 4,303 | | | | | | | Commercial Metals Co. | | | 230,598 | |
| | 1,279 | | | | | | | Compass Minerals International Inc. | | | 11,294 | |
| | 4,874 | | | | | | | Constellium SE, Class A Shares* | | | 81,737 | |
| | 280 | | | | | | | Contango ORE Inc.* | | | 6,026 | |
| | 562 | | | | | | | Critical Metals Corp.* | | | 4,710 | |
| | 2,810 | | | | | | | Dakota Gold Corp.* | | | 6,519 | |
| | 429 | | | | | | | Haynes International Inc. | | | 25,800 | |
| | 21,608 | | | | | | | Hecla Mining Co. | | | 128,135 | |
| | 6,041 | | | | | | | i-80 Gold Corp.* | | | 6,403 | |
| | 3,026 | | | | | | | Ivanhoe Electric Inc.* | | | 21,364 | |
| | 602 | | | | | | | Kaiser Aluminum Corp. | | | 44,879 | |
| | 1,234 | | | | | | | Lifezone Metals Ltd.*(a) | | | 7,601 | |
| | 721 | | | | | | | Materion Corp. | | | 83,665 | |
| | 1,617 | | | | | | | Metallus Inc.* | | | 26,292 | |
| | 1,903 | | | | | | | Metals Acquisition Ltd., Class A Shares* | | | 21,371 | |
| | 4,832 | | | | | | | MP Materials Corp.*(a) | | | 62,333 | |
| | 8,864 | | | | | | | Novagold Resources Inc.* | | | 37,672 | |
| | 372 | | | | | | | Olympic Steel Inc. | | | 14,917 | |
| | 1,578 | | | | | | | Perpetua Resources Corp.* | | | 14,044 | |
| | 611 | | | | | | | Piedmont Lithium Inc.* | | | 5,035 | |
| | 932 | | | | | | | Radius Recycling Inc. | | | 14,110 | |
| | 945 | | | | | | | Ramaco Resources Inc., Class A Shares | | | 11,520 | |
| | 189 | | | | | | | Ramaco Resources Inc., Class B Shares | | | 2,141 | |
| | 2,120 | | | | | | | Reliance Inc. | | | 607,698 | |
| | 2,409 | | | | | | | Royal Gold Inc. | | | 337,670 | |
| | 1,021 | | | | | | | Ryerson Holding Corp. | | | 20,440 | |
| | 7,730 | | | | | | | SSR Mining Inc. | | | 40,119 | |
| | 2,890 | | | | | | | SunCoke Energy Inc. | | | 25,894 | |
| | 1,116 | | | | | | | Tredegar Corp.* | | | 6,841 | |
| | 8,341 | | | | | | | United States Steel Corp. | | | 316,207 | |
| | 308 | | | | | | | Universal Stainless & Alloy Products Inc.* | | | 12,973 | |
| | 1,900 | | | | | | | Warrior Met Coal Inc. | | | 116,489 | |
| | 1,114 | | | | | | | Worthington Steel Inc. | | | 39,436 | |
| | | | | | | | | | | | |
| | | | | | | | Total Metals & Mining | | | 4,572,257 | |
| | | | | | | | | | | | |
|
| Paper & Forest Products — 0.1% | |
| | 630 | | | | | | | Clearwater Paper Corp.* | | | 20,960 | |
| | 2,384 | | | | | | | Louisiana-Pacific Corp. | | | 231,367 | |
| | 1,860 | | | | | | | Resolute Forest Products Inc.*(f) | | | 2,939 | |
| | 1,350 | | | | | | | Sylvamo Corp. | | | 106,772 | |
| | | | | | | | | | | | |
| | | | | | | | Total Paper & Forest Products | | | 362,038 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL MATERIALS | | | 22,101,198 | |
| | | | | | | | | | | | |
|
| REAL ESTATE — 5.1% | |
|
| Diversified REITs — 0.2% | |
| | 2,672 | | | | | | | Alexander & Baldwin Inc. | | | 52,879 | |
| | 375 | | | | | | | Alpine Income Property Trust Inc. | | | 7,140 | |
| | 1,805 | | | | | | | American Assets Trust Inc. | | | 49,186 | |
| | 2,298 | | | | | | | Armada Hoffler Properties Inc. | | | 28,288 | |
| | 35,955 | | | | | | | Broadstone Net Lease Inc., Class A Shares | | | 657,977 | |
| | 723 | | | | | | | CTO Realty Growth Inc. | | | 13,752 | |
See Notes to Financial Statements.
69
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 5.1% — (continued) | |
|
| Diversified REITs — 0.2% — (continued) | |
| | 5,185 | | | | | | | Empire State Realty Trust Inc., Class A Shares | | $ | 55,946 | |
| | 6,411 | | | | | | | Essential Properties Realty Trust Inc. | | | 204,575 | |
| | 1,504 | | | | | | | Gladstone Commercial Corp. | | | 22,996 | |
| | 7,142 | | | | | | | Global Net Lease Inc. | | | 61,564 | |
| | 1,005 | | | | | | | NexPoint Diversified Real Estate Trust(b) | | | 5,930 | |
| | 539 | | | | | | | One Liberty Properties Inc. | | | 14,418 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified REITs | | | 1,174,651 | |
| | | | | | | | | | | | |
|
| Health Care REITs — 0.3% | |
| | 2,383 | | | | | | | American Healthcare REIT Inc. | | | 49,876 | |
| | 5,005 | | | | | | | CareTrust REIT Inc. | | | 149,549 | |
| | 927 | | | | | | | Community Healthcare Trust Inc. | | | 17,363 | |
| | 8,279 | | | | | | | Diversified Healthcare Trust | | | 28,811 | |
| | 2,614 | | | | | | | Global Medical REIT Inc. | | | 24,336 | |
| | 14,109 | | | | | | | Healthcare Realty Trust Inc., Class A Shares | | | 251,140 | |
| | 1,529 | | | | | | | LTC Properties Inc. | | | 56,160 | |
| | 22,691 | | | | | | | Medical Properties Trust Inc.(a) | | | 102,110 | |
| | 1,578 | | | | | | | National Health Investors Inc. | | | 128,497 | |
| | 9,064 | | | | | | | Omega Healthcare Investors Inc. | | | 358,391 | |
| | 8,714 | | | | | | | Sabra Health Care REIT Inc. | | | 148,487 | |
| | 455 | | | | | | | Universal Health Realty Income Trust | | | 20,429 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care REITs | | | 1,335,149 | |
| | | | | | | | | | | | |
|
| Hotel & Resort REITs — 0.5% | |
| | 8,492 | | | | | | | Apple Hospitality REIT Inc. | | | 122,624 | |
| | 3,087 | | | | | | | Braemar Hotels & Resorts Inc. | | | 9,600 | |
| | 1,734 | | | | | | | Chatham Lodging Trust | | | 14,843 | |
| | 7,782 | | | | | | | DiamondRock Hospitality Co. | | | 68,404 | |
| | 26,016 | | | | | | | Host Hotels & Resorts Inc. | | | 460,483 | |
| | 7,922 | | | | | | | Park Hotels & Resorts Inc. | | | 121,048 | |
| | 4,268 | | | | | | | Pebblebrook Hotel Trust | | | 56,764 | |
| | 5,556 | | | | | | | RLJ Lodging Trust | | | 52,782 | |
| | 10,097 | | | | | | | Ryman Hospitality Properties Inc. | | | 1,049,684 | |
| | 6,311 | | | | | | | Service Properties Trust | | | 29,599 | |
| | 4,049 | | | | | | | Summit Hotel Properties Inc. | | | 27,493 | |
| | 7,732 | | | | | | | Sunstone Hotel Investors Inc. | | | 80,645 | |
| | 3,807 | | | | | | | Xenia Hotels & Resorts Inc. | | | 54,212 | |
| | | | | | | | | | | | |
| | | | | | | | Total Hotel & Resort REITs | | | 2,148,181 | |
| | | | | | | | | | | | |
|
| Industrial REITs — 1.1% | |
| | 10,526 | | | | | | | Americold Realty Trust Inc. | | | 305,254 | |
| | 1,753 | | | | | | | EastGroup Properties Inc. | | | 326,759 | |
| | 17,821 | | | | | | | First Industrial Realty Trust Inc. | | | 1,010,985 | |
| | 2,292 | | | | | | | Industrial Logistics Properties Trust | | | 11,345 | |
| | 1,055 | | | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 131,116 | |
| | 10,739 | | | | | | | LXP Industrial Trust | | | 111,256 | |
| | 1,693 | | | | | | | Plymouth Industrial REIT Inc. | | | 40,531 | |
| | 7,947 | | | | | | | Rexford Industrial Realty Inc. | | | 404,661 | |
| | 66,166 | | | | | | | STAG Industrial Inc. | | | 2,685,016 | |
| | 3,463 | | | | | | | Terreno Realty Corp. | | | 239,086 | |
| | | | | | | | | | | | |
| | | | | | | | Total Industrial REITs | | | 5,266,009 | |
| | | | | | | | | | | | |
|
| Office REITs — 0.4% | |
| | 6,768 | | | | | | | Brandywine Realty Trust | | | 35,397 | |
| | 5,860 | | | | | | | BXP Inc. | | | 440,789 | |
| | 1,288 | | | | | | | City Office REIT Inc. | | | 7,573 | |
See Notes to Financial Statements.
70
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 5.1% — (continued) | |
|
| Office REITs — 0.4% — (continued) | |
| | 4,197 | | | | | | | COPT Defense Properties | | $ | 125,029 | |
| | 5,675 | | | | | | | Cousins Properties Inc. | | | 161,794 | |
| | 6,007 | | | | | | | Douglas Emmett Inc. | | | 96,112 | |
| | 3,367 | | | | | | | Easterly Government Properties Inc., Class A Shares | | | 44,175 | |
| | 3,693 | | | | | | | Equity Commonwealth* | | | 74,857 | |
| | 4,278 | | | | | | | Franklin Street Properties Corp. | | | 7,786 | |
| | 3,982 | | | | | | | Highwoods Properties Inc. | | | 128,300 | |
| | 5,116 | | | | | | | Hudson Pacific Properties Inc. | | | 26,347 | |
| | 3,198 | | | | | | | JBG SMITH Properties | | | 55,645 | |
| | 4,403 | | | | | | | Kilroy Realty Corp. | | | 159,697 | |
| | 540 | | | | | | | NET Lease Office Properties | | | 16,367 | |
| | 2,327 | | | | | | | Orion Office REIT Inc. | | | 9,541 | |
| | 5,836 | | | | | | | Paramount Group Inc. | | | 29,472 | |
| | 1,310 | | | | | | | Peakstone Realty Trust | | | 17,475 | |
| | 4,416 | | | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 43,100 | |
| | 905 | | | | | | | Postal Realty Trust Inc., Class A Shares | | | 13,114 | |
| | 2,454 | | | | | | | SL Green Realty Corp. | | | 163,535 | |
| | 6,642 | | | | | | | Vornado Realty Trust | | | 228,286 | |
| | | | | | | | | | | | |
| | | | | | | | Total Office REITs | | | 1,884,391 | |
| | | | | | | | | | | | |
|
| Real Estate Management & Development — 0.7% | |
| | 4,266 | | | | | | | Anywhere Real Estate Inc.* | | | 20,861 | |
| | 13,510 | | | | | | | Compass Inc., Class A Shares* | | | 69,306 | |
| | 5,997 | | | | | | | Cushman & Wakefield PLC* | | | 77,961 | |
| | 5,678 | | | | | | | DigitalBridge Group Inc. | | | 70,918 | |
| | 3,223 | | | | | | | eXp World Holdings Inc.(a) | | | 37,903 | |
| | 669 | | | | | | | Forestar Group Inc.* | | | 20,699 | |
| | 506 | | | | | | | FRP Holdings Inc.* | | | 14,988 | |
| | 1,091 | | | | | | | Howard Hughes Holdings Inc.* | | | 82,065 | |
| | 7,728 | | | | | | | Jones Lang LaSalle Inc.* | | | 1,972,417 | |
| | 4,535 | | | | | | | Kennedy-Wilson Holdings Inc. | | | 50,429 | |
| | 946 | | | | | | | Marcus & Millichap Inc. | | | 37,528 | |
| | 426 | | | | | | | Maui Land & Pineapple Co., Inc.* | | | 11,080 | |
| | 5,407 | | | | | | | Newmark Group Inc., Class A Shares | | | 74,779 | |
| | 21,396 | | | | | | | Opendoor Technologies Inc.* | | | 46,001 | |
| | 623 | | | | | | | RE/MAX Holdings Inc., Class A Shares* | | | 7,052 | |
| | 3,584 | | | | | | | Real Brokerage Inc. (The)*(a) | | | 22,328 | |
| | 3,994 | | | | | | | Redfin Corp.* | | | 37,304 | |
| | 448 | | | | | | | RMR Group Inc. (The), Class A Shares | | | 11,420 | |
| | 121 | | | | | | | Seaport Entertainment Group Inc.* | | | 3,724 | |
| | 1,334 | | | | | | | St Joe Co. (The) | | | 79,200 | |
| | 398 | | | | | | | Star Holdings* | | | 5,333 | |
| | 298 | | | | | | | Stratus Properties Inc.* | | | 7,769 | |
| | 758 | | | | | | | Tejon Ranch Co.* | | | 13,561 | |
| | 1,879 | | | | | | | Zillow Group Inc., Class A Shares* | | | 100,395 | |
| | 5,781 | | | | | | | Zillow Group Inc., Class C Shares* | | | 319,689 | |
| | | | | | | | | | | | |
| | | | | | | | Total Real Estate Management & Development | | | 3,194,710 | |
| | | | | | | | | | | | |
|
| Residential REITs — 0.6% | |
| | 12,556 | | | | | | | American Homes 4 Rent, Class A Shares | | | 499,352 | |
| | 5,639 | | | | | | | Apartment Investment & Management Co., Class A Shares* | | | 52,443 | |
| | 474 | | | | | | | BRT Apartments Corp. | | | 9,001 | |
| | 3,870 | | | | | | | Camden Property Trust | | | 484,524 | |
| | 544 | | | | | | | Centerspace | | | 40,691 | |
| | 586 | | | | | | | Clipper Realty Inc. | | | 2,883 | |
| | 3,050 | | | | | | | Elme Communities | | | 53,863 | |
See Notes to Financial Statements.
71
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 5.1% — (continued) | |
|
| Residential REITs — 0.6% — (continued) | |
| | 6,844 | | | | | | | Equity LifeStyle Properties Inc. | | $ | 497,627 | |
| | 63,118 | | | | | | | Independence Realty Trust Inc. | | | 1,311,592 | |
| | 823 | | | | | | | NexPoint Residential Trust Inc. | | | 38,928 | |
| | 2,356 | | | | | | | UMH Properties Inc. | | | 45,848 | |
| | 2,844 | | | | | | | Veris Residential Inc. | | | 49,884 | |
| | | | | | | | | | | | |
| | | | | | | | Total Residential REITs | | | 3,086,636 | |
| | | | | | | | | | | | |
|
| Retail REITs — 0.7% | |
| | 3,606 | | | | | | | Acadia Realty Trust | | | 81,171 | |
| | 3,661 | | | | | | | Agree Realty Corp. | | | 267,290 | |
| | 77 | | | | | | | Alexander’s Inc. | | | 17,645 | |
| | 11,086 | | | | | | | Brixmor Property Group Inc. | | | 303,646 | |
| | 968 | | | | | | | CBL & Associates Properties Inc. | | | 25,555 | |
| | 3,060 | | | | | | | Federal Realty Investment Trust | | | 351,900 | |
| | 1,847 | | | | | | | Getty Realty Corp. | | | 58,698 | |
| | 2,496 | | | | | | | InvenTrust Properties Corp. | | | 74,081 | |
| | 24,521 | | | | | | | Kimco Realty Corp. | | | 570,359 | |
| | 7,964 | | | | | | | Kite Realty Group Trust | | | 207,701 | |
| | 8,089 | | | | | | | Macerich Co. (The) | | | 129,181 | |
| | 2,529 | | | | | | | NETSTREIT Corp. | | | 42,209 | |
| | 6,717 | | | | | | | NNN REIT Inc. | | | 315,632 | |
| | 4,457 | | | | | | | Phillips Edison & Co., Inc. | | | 164,731 | |
| | 6,826 | | | | | | | Regency Centers Corp. | | | 496,182 | |
| | 4,625 | | | | | | | Retail Opportunity Investments Corp. | | | 70,716 | |
| | 421 | | | | | | | Saul Centers Inc. | | | 17,185 | |
| | 1,804 | | | | | | | SITE Centers Corp. | | | 108,871 | |
| | 3,911 | | | | | | | Tanger Inc. | | | 119,051 | |
| | 4,521 | | | | | | | Urban Edge Properties | | | 95,619 | |
| | 1,631 | | | | | | | Whitestone REIT, Class B Shares | | | 21,888 | |
| | | | | | | | | | | | |
| | | | | | | | Total Retail REITs | | | 3,539,311 | |
| | | | | | | | | | | | |
|
| Specialized REITs — 0.6% | |
| | 20,590 | | | | | | | CubeSmart | | | 1,067,180 | |
| | 2,809 | | | | | | | EPR Properties | | | 133,343 | |
| | 1,538 | | | | | | | Farmland Partners Inc. | | | 15,749 | |
| | 3,420 | | | | | | | Four Corners Property Trust Inc. | | | 96,957 | |
| | 9,764 | | | | | | | Gaming and Leisure Properties Inc. | | | 507,923 | |
| | 1,177 | | | | | | | Gladstone Land Corp. | | | 15,972 | |
| | 3,269 | | | | | | | Lamar Advertising Co., Class A Shares | | | 411,175 | |
| | 2,686 | | | | | | | National Storage Affiliates Trust | | | 125,544 | |
| | 5,507 | | | | | | | Outfront Media Inc. | | | 93,894 | |
| | 2,973 | | | | | | | PotlatchDeltic Corp. | | | 129,207 | |
| | 5,473 | | | | | | | Rayonier Inc. | | | 168,623 | |
| | 1,925 | | | | | | | Safehold Inc. | | | 48,240 | |
| | 8,862 | | | | | | | Uniti Group Inc. | | | 38,638 | |
| | | | | | | | | | | | |
| | | | | | | | Total Specialized REITs | | | 2,852,445 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL REAL ESTATE | | | 24,481,483 | |
| | | | | | | | | | | | |
|
| UTILITIES — 3.3% | |
|
| Electric Utilities — 1.2% | |
| | 13,171 | | | | | | | ALLETE Inc. | | | 837,017 | |
| | 571 | | | | | | | Genie Energy Ltd., Class B Shares | | | 9,558 | |
| | 4,438 | | | | | | | Hawaiian Electric Industries Inc.* | | | 47,620 | |
| | 11,512 | | | | | | | IDACORP Inc. | | | 1,173,188 | |
| | 1,295 | | | | | | | MGE Energy Inc. | | | 112,283 | |
| | 7,988 | | | | | | | NRG Energy Inc. | | | 679,060 | |
See Notes to Financial Statements.
72
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| UTILITIES — 3.3% — (continued) | |
|
| Electric Utilities — 1.2% — (continued) | |
| | 7,518 | | | | | | | OGE Energy Corp. | | $ | 297,412 | |
| | 1,551 | | | | | | | Otter Tail Corp. | | | 131,137 | |
| | 4,248 | | | | | | | Pinnacle West Capital Corp. | | | 371,785 | |
| | 41,187 | | | | | | | Portland General Electric Co. | | | 1,981,507 | |
| | 3,347 | | | | | | | TXNM Energy Inc. | | | 137,160 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electric Utilities | | | 5,777,727 | |
| | | | | | | | | | | | |
|
| Gas Utilities — 0.6% | |
| | 6,682 | | | | | | | Atmos Energy Corp. | | | 873,605 | |
| | 4,469 | | | | | | | Brookfield Infrastructure Corp., Class A Shares | | | 181,888 | |
| | 813 | | | | | | | Chesapeake Utilities Corp. | | | 96,275 | |
| | 3,392 | | | | | | | National Fuel Gas Co. | | | 202,706 | |
| | 22,031 | | | | | | | New Jersey Resources Corp. | | | 1,020,256 | |
| | 1,335 | | | | | | | Northwest Natural Holding Co. | | | 53,694 | |
| | 2,084 | | | | | | | ONE Gas Inc. | | | 143,671 | |
| | 281 | | | | | | | RGC Resources Inc. | | | 5,971 | |
| | 2,248 | | | | | | | Southwest Gas Holdings Inc. | | | 163,475 | |
| | 2,019 | | | | | | | Spire Inc. | | | 133,193 | |
| | 7,814 | | | | | | | UGI Corp. | | | 194,647 | |
| | | | | | | | | | | | |
| | | | | | | | Total Gas Utilities | | | 3,069,381 | |
| | | | | | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.9% | |
| | 2,229 | | | | | | | Altus Power Inc., Class A Shares* | | | 6,955 | |
| | 5,002 | | | | | | | Brookfield Renewable Corp., Class A Shares(a) | | | 142,507 | |
| | 1,443 | | | | | | | Clearway Energy Inc., Class A Shares | | | 38,773 | |
| | 2,895 | | | | | | | Clearway Energy Inc., Class C Shares | | | 83,839 | |
| | 2,632 | | | | | | | Montauk Renewables Inc.* | | | 12,344 | |
| | 25,068 | | | | | | | Ormat Technologies Inc. | | | 1,868,318 | |
| | 4,311 | | | | | | | Sunnova Energy International Inc.* | | | 47,895 | |
| | 24,698 | | | | | | | Vistra Corp. | | | 2,109,950 | |
| | | | | | | | | | | | |
| | | | | | | | Total Independent Power & Renewable Electricity Producers | | | 4,310,581 | |
| | | | | | | | | | | | |
|
| Multi-Utilities — 0.4% | |
| | 2,894 | | | | | | | Avista Corp. | | | 111,824 | |
| | 2,573 | | | | | | | Black Hills Corp. | | | 152,116 | |
| | 16,961 | | | | | | | NiSource Inc. | | | 560,731 | |
| | 17,926 | | | | | | | Northwestern Energy Group Inc. | | | 974,995 | |
| | 581 | | | | | | | Unitil Corp. | | | 35,034 | |
| | | | | | | | | | | | |
| | | | | | | | Total Multi-Utilities | | | 1,834,700 | |
| | | | | | | | | | | | |
|
| Water Utilities — 0.2% | |
| | 1,363 | | | | | | | American States Water Co. | | | 110,975 | |
| | 1,459 | | | | | | | Cadiz Inc.* | | | 4,917 | |
| | 2,126 | | | | | | | California Water Service Group | | | 117,632 | |
| | 513 | | | | | | | Consolidated Water Co., Ltd. | | | 14,241 | |
| | 9,344 | | | | | | | Essential Utilities Inc. | | | 364,323 | |
| | 619 | | | | | | | Global Water Resources Inc. | | | 7,855 | |
| | 667 | | | | | | | Middlesex Water Co. | | | 42,028 | |
| | 734 | | | | | | | Pure Cycle Corp.* | | | 7,817 | |
| | 1,176 | | | | | | | SJW Group | | | 69,372 | |
| | 373 | | | | | | | York Water Co. (The) | | | 14,539 | |
| | | | | | | | | | | | |
| | | | | | | | Total Water Utilities | | | 753,699 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL UTILITIES | | | 15,746,088 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COMMON STOCKS
(Cost — $346,821,595) | | | 467,503,134 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
73
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| WARRANTS — 0.0%@ | |
|
| HEALTH CARE — 0.0%@ | |
|
| Health Care Equipment & Supplies — 0.0%@ | |
| | | | | | | | Pulse Biosciences Inc., expires | | | | |
| | 107 | | | | | | | 6/26/29*(a)(b)(f) | | $ | 409 | |
| | 107 | | | | | | | 6/27/29*(a)(b)(f) | | | 409 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL WARRANTS
(Cost — $0) | | | 818 | |
| | | | | | | | | | | | |
| | | |
Face Amount/Units† | | | Rating†† | | | | | | |
|
| CORPORATE BOND & NOTE — 0.1% | |
|
| Communications Equipment — 0.1% | |
| $ | 702,000 | | | | NR | | | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(b) (Cost — $702,000) | | | 727,272 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $347,523,595) | | | 468,231,224 | |
| | | | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS (d) — 2.6% | |
|
| MONEY MARKET FUND — 0.8% | |
| | 3,848,832 | | | | | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.106%(e)
(Cost — $3,848,832) | | | 3,848,832 | |
| | | | | | | | | | | | |
|
| TIME DEPOSITS — 1.8% | |
| | 63,472 | | | | | | | ANZ National Bank — London, 4.680% due 9/3/24 | | | 63,472 | |
| | 28,579 | CAD | | | | | | BBH — New York, 3.330% due 9/3/24 | | | 21,205 | |
| | 871,624 | | | | | | | Citibank — New York, 4.680% due 9/3/24 | | | 871,624 | |
| | 5,629,276 | | | | | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | | 5,629,276 | |
| | 1,853,505 | | | | | | | Skandinaviska Enskilda Banken AB — Stockholm, 4.680% due 9/3/24 | | | 1,853,505 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL TIME DEPOSITS
(Cost — $8,439,082) | | | 8,439,082 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $12,287,914) | | | 12,287,914 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS — 100.4%
(Cost — $359,811,509) | | | 480,519,138 | |
| | | | | | | | | | | | |
| | | | | | | | Liabilities in Excess of Other Assets — (0.4)% | | | (1,975,223 | ) |
| | | | | | | | | | | | |
| | | | | | | | TOTAL NET ASSETS — 100.0% | | $ | 478,543,915 | |
| | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (c) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2024, amounts to 0$ and represents 0.0% of net assets. |
| (d) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.8%. |
| (e) | Represents investments of collateral received from securities lending transactions. |
| (f) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| # | Security that used significant unobservable inputs to determine fair value. At August 31, 2024, the Fund held Level 3 securities with a value of $0 representing 0.0% of net assets. |
See Notes to Financial Statements.
74
| | | | | | |
| Small-Mid Cap Equity Fund |
At August 31, 2024, for Small-Mid Cap Equity Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation | |
Small-Mid Cap Equity Fund | | $ | 369,145,567 | | | $ | 149,581,185 | | | $ | (38,101,561) | | | $ | 111,479,624 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | |
Industrials | | | 19.7 | % |
Information Technology | | | 15.3 | |
Financials | | | 14.8 | |
Health Care | | | 14.1 | |
Consumer Discretionary | | | 11.4 | |
Real Estate | | | 5.1 | |
Energy | | | 4.9 | |
Materials | | | 4.6 | |
Utilities | | | 3.3 | |
Communication Services | | | 2.6 | |
Consumer Staples | | | 2.4 | |
Short-Term Investments | | | 1.8 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2024, Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
E-mini Russell 2000 Index Futures | | | 16 | | | | 9/24 | | | $ | 1,684,933 | | | $ | 1,778,480 | | | $ | 93,547 | |
S&P MidCap 400 E-mini Index Futures | | | 1 | | | | 9/24 | | | | 296,847 | | | | 309,810 | | | | 12,963 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 106,510 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Small-Mid Cap Equity Fund had deposited cash of $134,996 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
75
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 97.5% | |
|
| Australia — 3.9% | |
| | 52,114 | | | AGL Energy Ltd. | | $ | 410,801 | |
| | 32,341 | | | ALS Ltd. | | | 344,564 | |
| | 6,769 | | | Ampol Ltd. | | | 132,885 | |
| | 86,988 | | | ANZ Group Holdings Ltd. | | | 1,796,469 | |
| | 36,161 | | | APA Group | | | 185,714 | |
| | 16,130 | | | Aristocrat Leisure Ltd. | | | 599,597 | |
| | 5,839 | | | ASX Ltd. | | | 241,830 | |
| | 146,260 | | | BHP Group Ltd. | | | 4,053,036 | |
| | 12,902 | | | BlueScope Steel Ltd. | | | 181,394 | |
| | 40,934 | | | Brambles Ltd. | | | 506,580 | |
| | 9,964 | | | CAR Group Ltd. | | | 256,581 | |
| | 64,407 | | | Champion Iron Ltd. | | | 275,245 | |
| | 35,436 | | | Charter Hall Group, REIT | | | 349,655 | |
| | 12,945 | | | Cochlear Ltd. | | | 2,641,820 | |
| | 36,760 | | | Coles Group Ltd. | | | 468,139 | |
| | 48,210 | | | Commonwealth Bank of Australia | | | 4,571,110 | |
| | 15,256 | | | Computershare Ltd. | | | 294,555 | |
| | 32,464 | | | CSL Ltd. | | | 6,771,759 | |
| | 31,087 | | | Dexus, REIT | | | 151,836 | |
| | 41,485 | | | Endeavour Group Ltd. | | | 150,314 | |
| | 49,013 | | | Fortescue Ltd. | | | 603,919 | |
| | 49,001 | | | Goodman Group, REIT | | | 1,114,253 | |
| | 54,632 | | | GPT Group (The), REIT | | | 181,802 | |
| | 70,676 | | | Insurance Australia Group Ltd. | | | 362,501 | |
| | 11,051 | | | JB Hi-Fi Ltd. | | | 594,808 | |
| | 198,546 | | | Karoon Energy Ltd.* | | | 234,126 | |
| | 61,643 | | | Lottery Corp., Ltd. (The) | | | 208,968 | |
| | 10,503 | | | Macquarie Group Ltd. | | | 1,540,469 | |
| | 56,139 | | | Magellan Financial Group Ltd. | | | 364,554 | |
| | 76,916 | | | Medibank Pvt Ltd. | | | 201,678 | |
| | 5,393 | | | Mineral Resources Ltd. | | | 147,483 | |
| | 113,317 | | | Mirvac Group, REIT | | | 156,355 | |
| | 88,651 | | | National Australia Bank Ltd. | | | 2,301,113 | |
| | 33,186 | | | Northern Star Resources Ltd. | | | 341,989 | |
| | 205,392 | | | OceanaGold Corp. | | | 534,911 | |
| | 13,218 | | | Orica Ltd. | | | 159,468 | |
| | 49,388 | | | Origin Energy Ltd. | | | 332,830 | |
| | 36,365 | | | Paladin Energy Ltd.* | | | 243,734 | |
| | 84,447 | | | Pilbara Minerals Ltd.(a) | | | 170,565 | |
| | 1,818 | | | Pro Medicus Ltd. | | | 186,238 | |
| | 21,998 | | | Qantas Airways Ltd.* | | | 100,266 | |
| | 42,932 | | | QBE Insurance Group Ltd. | | | 458,597 | |
| | 310,568 | | | Ramelius Resources Ltd. | | | 465,637 | |
| | 5,201 | | | Ramsay Health Care Ltd. | | | 146,741 | |
| | 1,659 | | | REA Group Ltd. | | | 247,496 | |
| | 5,940 | | | Reece Ltd. | | | 110,531 | |
| | 42,389 | | | Rio Tinto Ltd. | | | 3,199,604 | |
| | 94,386 | | | Santos Ltd. | | | 463,557 | |
| | 151,508 | | | Scentre Group, REIT | | | 354,687 | |
| | 10,946 | | | SEEK Ltd. | | | 171,757 | |
| | 6,607 | | | Seven Group Holdings Ltd. | | | 184,578 | |
| | 13,375 | | | Sonic Healthcare Ltd. | | | 251,068 | |
| | 132,510 | | | South32 Ltd. | | | 281,468 | |
| | 66,608 | | | Stockland, REIT | | | 227,482 | |
| | 35,847 | | | Suncorp Group Ltd. | | | 430,457 | |
See Notes to Financial Statements.
76
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Australia — 3.9% — (continued) | |
| | 41,215 | | | Super Retail Group Ltd. | | $ | 500,370 | |
| | 45,922 | | | Technology One Ltd. | | | 715,138 | |
| | 116,249 | | | Telstra Group Ltd. | | | 309,894 | |
| | 87,393 | | | Transurban Group | | | 804,706 | |
| | 22,591 | | | Treasury Wine Estates Ltd. | | | 174,670 | |
| | 150,673 | | | Ventia Services Group Pty Ltd. | | | 433,121 | |
| | 112,830 | | | Vicinity Ltd., REIT | | | 170,376 | |
| | 6,801 | | | Washington H Soul Pattinson & Co., Ltd. | | | 159,404 | |
| | 32,357 | | | Wesfarmers Ltd. | | | 1,588,990 | |
| | 99,521 | | | Westpac Banking Corp. | | | 2,113,336 | |
| | 4,923 | | | WiseTech Global Ltd. | | | 398,688 | |
| | 55,321 | | | Woodside Energy Group Ltd. | | | 1,018,555 | |
| | 35,329 | | | Woolworths Group Ltd. | | | 854,928 | |
| | | | | | | | |
| | | | Total Australia | | | 50,701,750 | |
| | | | | | | | |
|
| Austria — 0.3% | |
| | 57,708 | | | Erste Group Bank AG | | | 3,178,737 | |
| | 4,078 | | | OMV AG | | | 177,905 | |
| | 1,964 | | | Verbund AG | | | 167,579 | |
| | 2,875 | | | Voestalpine AG | | | 70,262 | |
| | | | | | | | |
| | | | Total Austria | | | 3,594,483 | |
| | | | | | | | |
|
| | Belgium — 0.9% | |
| | 4,471 | | | Ageas SA/NV | | | 230,868 | |
| | 107,809 | | | Anheuser-Busch InBev SA/NV | | | 6,621,818 | |
| | 686 | | | D’ieteren Group | | | 166,893 | |
| | 933 | | | Elia Group SA/NV | | | 102,327 | |
| | 2,768 | | | Groupe Bruxelles Lambert NV | | | 214,423 | |
| | 6,547 | | | KBC Group NV | | | 510,110 | |
| | 12 | | | Lotus Bakeries NV | | | 151,001 | |
| | 482 | | | Sofina SA | | | 117,868 | |
| | 2,252 | | | Syensqo SA | | | 186,263 | |
| | 18,777 | | | UCB SA | | | 3,408,640 | |
| | 4,781 | | | Warehouses de Pauw CVA, REIT | | | 128,015 | |
| | | | | | | | |
| | | | Total Belgium | | | 11,838,226 | |
| | | | | | | | |
|
| | Brazil — 0.1% | |
| | 455,803 | | | Banco Bradesco SA, ADR | | | 1,267,132 | |
| | 44,352 | | | NU Holdings Ltd., Class A Shares* | | | 663,950 | |
| | | | | | | | |
| | | | Total Brazil | | | 1,931,082 | |
| | | | | | | | |
|
| | Canada — 2.1% | |
| | 44,970 | | | Alamos Gold Inc., Class A Shares | | | 866,867 | |
| | 92,135 | | | Alimentation Couche-Tard Inc. | | | 5,259,095 | |
| | 8,337 | | | AtkinsRealis Group Inc. | | | 326,490 | |
| | 11,710 | | | Boardwalk Real Estate Investment Trust, Class Trust Un Shares(a) | | | 749,822 | |
| | 7,344 | | | Bombardier Inc., Class B Shares* | | | 504,367 | |
| | 17,069 | | | Boralex Inc., Class A Shares | | | 408,694 | |
| | 30,300 | | | Canadian National Railway Co. | | | 3,569,903 | |
| | 57,462 | | | Canadian Pacific Kansas City Ltd. | | | 4,769,634 | |
| | 25,732 | | | Celestica Inc.* | | | 1,310,132 | |
| | 22,848 | | | CI Financial Corp. | | | 295,655 | |
| | 5,939 | | | Docebo Inc.* | | | 255,142 | |
| | 74,428 | | | Dundee Precious Metals Inc. | | | 725,090 | |
| | 21,804 | | | Eldorado Gold Corp.* | | | 376,464 | |
| | 6,914 | | | EQB Inc. | | | 489,302 | |
| | 23,597 | | | Finning International Inc. | | | 700,338 | |
| | 94,342 | | | Headwater Exploration Inc. | | | 479,498 | |
See Notes to Financial Statements.
77
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Canada — 2.1% — (continued) | |
| | 26,335 | | | IMAX Corp.* | | $ | 558,039 | |
| | 7,866 | | | Linamar Corp. | | | 368,860 | |
| | 1,506 | | | lululemon athletica Inc.* | | | 390,762 | |
| | 52,020 | | | Lundin Mining Corp. | | | 539,595 | |
| | 18,647 | | | Nutrien Ltd. | | | 903,053 | |
| | 43,501 | | | NuVista Energy Ltd.* | | | 412,174 | |
| | 38,964 | | | Secure Energy Services Inc. | | | 358,778 | |
| | 9,060 | | | Stella-Jones Inc. | | | 623,831 | |
| | 17,018 | | | Toronto-Dominion Bank (The) | | | 1,019,628 | |
| | 31,039 | | | Vermilion Energy Inc. | | | 319,429 | |
| | 59,151 | | | Whitecap Resources Inc.(a) | | | 450,298 | |
| | | | | | | | |
| | | | Total Canada | | | 27,030,940 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 48,678 | | | Antofagasta PLC | | | 1,193,075 | |
| | | | | | | | |
|
| | China — 0.5% | |
| | 25,000 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 648,867 | |
| | 332,500 | | | Li Ning Co., Ltd. | | | 620,782 | |
| | 89,900 | | | Tencent Holdings Ltd. | | | 4,345,022 | |
| | 32,220 | | | Tencent Music Entertainment Group, ADR | | | 336,377 | |
| | | | | | | | |
| | | | Total China | | | 5,951,048 | |
| | | | | | | | |
|
| | Denmark — 3.3% | |
| | 61 | | | AP Moller — Maersk AS, Class A Shares | | | 88,796 | |
| | 165 | | | AP Moller — Maersk AS, Class B Shares | | | 246,550 | |
| | 2,563 | | | Ascendis Pharma AS, ADR* | | | 354,847 | |
| | 13,419 | | | Bavarian Nordic AS* | | | 528,218 | |
| | 2,767 | | | Carlsberg AS, Class B Shares | | | 325,633 | |
| | 33,483 | | | Coloplast AS, Class B Shares(a) | | | 4,567,877 | |
| | 19,541 | | | Danske Bank AS | | | 610,432 | |
| | 3,329 | | | Demant AS* | | | 141,369 | |
| | 4,947 | | | DSV AS | | | 887,033 | |
| | 1,807 | | | Genmab AS* | | | 502,376 | |
| | 15,212 | | | ISS AS | | | 281,744 | |
| | 6,750 | | | Jyske Bank AS, Class Registered Shares | | | 542,256 | |
| | 6,871 | | | Netcompany Group AS*(b) | | | 312,057 | |
| | 196,323 | | | Novo Nordisk AS, Class B Shares | | | 27,337,582 | |
| | 10,169 | | | Novonesis (Novozymes) B, Class B Shares | | | 706,828 | |
| | 5,554 | | | Orsted AS*(b) | | | 321,816 | |
| | 6,329 | | | Pandora AS | | | 1,111,472 | |
| | 1,498 | | | Rockwool AS, Class B Shares | | | 651,934 | |
| | 9,946 | | | Tryg AS | | | 222,139 | |
| | 116,196 | | | Vestas Wind Systems AS* | | | 2,679,512 | |
| | 1,829 | | | Zealand Pharma AS* | | | 240,294 | |
| | | | | | | | |
| | | | Total Denmark | | | 42,660,765 | |
| | | | | | | | |
|
| Finland — 0.7% | |
| | 3,991 | | | Elisa OYJ | | | 199,659 | |
| | 13,998 | | | Fortum OYJ | | | 223,947 | |
| | 8,042 | | | Kesko OYJ, Class B Shares | | | 163,654 | |
| | 76,693 | | | Kone OYJ, Class B Shares | | | 4,144,452 | |
| | 11,096 | | | Konecranes OYJ | | | 779,932 | |
| | 18,599 | | | Metso OYJ | | | 189,667 | |
| | 11,763 | | | Neste OYJ | | | 275,211 | |
| | 154,287 | | | Nokia OYJ | | | 686,358 | |
| | 91,226 | | | Nordea Bank Abp | | | 1,078,148 | |
| | 3,109 | | | Orion OYJ, Class B Shares | | | 165,149 | |
| | 12,859 | | | Sampo OYJ, Class A Shares | | | 574,795 | |
| | 15,939 | | | Stora Enso OYJ, Class R Shares | | | 206,626 | |
See Notes to Financial Statements.
78
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Finland — 0.7% — (continued) | |
| | 15,959 | | | UPM-Kymmene OYJ | | $ | 540,618 | |
| | 10,004 | | | Valmet OYJ | | | 287,196 | |
| | 14,346 | | | Wartsila OYJ Abp | | | 317,819 | |
| | | | | | | | |
| | | | Total Finland | | | 9,833,231 | |
| | | | | | | | |
|
| | France — 11.4% | |
| | 19,218 | | | Accor SA | | | 809,176 | |
| | 1,072 | | | Aeroports de Paris SA | | | 140,525 | |
| | 57,526 | | | Air Liquide SA | | | 10,735,249 | |
| | 17,169 | | | Airbus SE | | | 2,646,389 | |
| | 518,356 | | | Alstom SA*(a) | | | 10,594,570 | |
| | 101,588 | | | Alstom SA*(a)(b) | | | 2,076,336 | |
| | 1,540 | | | Amundi SA(b) | | | 115,849 | |
| | 9,145 | | | Arkema SA | | | 851,222 | |
| | 148,163 | | | AXA SA | | | 5,637,640 | |
| | 1,239 | | | BioMerieux | | | 143,446 | |
| | 99,368 | | | BNP Paribas SA | | | 6,878,818 | |
| | 21,877 | | | Bollore SE | | | 144,090 | |
| | 5,089 | | | Bouygues SA | | | 182,416 | |
| | 8,878 | | | Bureau Veritas SA | | | 293,027 | |
| | 4,476 | | | Capgemini SE | | | 933,904 | |
| | 174,568 | | | Carrefour SA | | | 2,814,597 | |
| | 70,057 | | | Cie de Saint-Gobain SA | | | 6,129,456 | |
| | 19,765 | | | Cie Generale des Etablissements Michelin SCA | | | 776,282 | |
| | 1,360 | | | Covivio SA, REIT | | | 75,805 | |
| | 29,699 | | | Credit Agricole SA | | | 464,973 | |
| | 79,321 | | | Danone SA | | | 5,507,827 | |
| | 631 | | | Dassault Aviation SA | | | 135,940 | |
| | 99,051 | | | Dassault Systemes SE | | | 3,870,704 | |
| | 7,384 | | | Edenred SE | | | 312,923 | |
| | 8,127 | | | Eiffage SA | | | 852,278 | |
| | 26,712 | | | Elis SA | | | 660,644 | |
| | 52,951 | | | Engie SA | | | 932,713 | |
| | 17,858 | | | EssilorLuxottica SA | | | 4,230,782 | |
| | 1,371 | | | Eurazeo SE | | | 108,130 | |
| | 1,366 | | | Gecina SA, REIT | | | 150,319 | |
| | 10,103 | | | Getlink SE | | | 182,311 | |
| | 2,148 | | | Hermes International SCA | | | 5,153,292 | |
| | 4,350 | | | Ipsen SA | | | 527,730 | |
| | 32,102 | | | Kering SA | | | 9,239,565 | |
| | 29,808 | | | Klepierre SA, REIT | | | 891,927 | |
| | 11,697 | | | La Francaise des Jeux SAEM(b) | | | 477,075 | |
| | 25,864 | | | Legrand SA | | | 2,915,453 | |
| | 16,746 | | | L’Oréal SA | | | 7,345,624 | |
| | 15,566 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 11,676,896 | |
| | 2,269 | | | Nexans SA | | | 293,099 | |
| | 52,481 | | | Orange SA | | | 597,686 | |
| | 5,743 | | | Pernod Ricard SA | | | 818,097 | |
| | 6,421 | | | Publicis Groupe SA | | | 706,045 | |
| | 17,780 | | | Renault SA | | | 844,630 | |
| | 18,347 | | | Rexel SA | | | 463,659 | |
| | 9,851 | | | Safran SA | | | 2,156,951 | |
| | 89,051 | | | Sanofi SA | | | 9,961,386 | |
| | 870 | | | Sartorius Stedim Biotech | | | 178,031 | |
| | 29,426 | | | Schneider Electric SE | | | 7,477,793 | |
| | 711 | | | SEB SA | | | 74,411 | |
| | 20,230 | | | Societe Generale SA | | | 489,048 | |
See Notes to Financial Statements.
79
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| France — 11.4% — (continued) | |
| | 14,217 | | | Sodexo SA(a) | | $ | 1,265,525 | |
| | 2,919 | | | Sopra Steria Group | | | 563,592 | |
| | 17,804 | | | SPIE SA | | | 718,899 | |
| | 18,411 | | | Technip Energies NV | | | 438,379 | |
| | 1,621 | | | Teleperformance SE | | | 178,549 | |
| | 2,721 | | | Thales SA | | | 457,549 | |
| | 135,862 | | | TotalEnergies SE | | | 9,379,470 | |
| | 3,290 | | | Unibail-Rodamco-Westfield, REIT | | | 263,628 | |
| | 31,478 | | | Vallourec SACA*(a) | | | 504,323 | |
| | 20,026 | | | Veolia Environnement SA | | | 663,182 | |
| | 14,244 | | | Vinci SA | | | 1,704,120 | |
| | 846 | | | Virbac SACA | | | 325,172 | |
| | 20,022 | | | Vivendi SE | | | 224,657 | |
| | 144,809 | | | Worldline SA*(b) | | | 1,329,701 | |
| | | | | | | | |
| | | | Total France | | | 149,693,485 | |
| | | | | | | | |
|
| | Germany — 8.1% | |
| | 22,448 | | | adidas AG | | | 5,742,426 | |
| | 14,250 | | | AIXTRON SE | | | 273,144 | |
| | 28,338 | | | Allianz SE, Class Registered Shares | | | 8,779,839 | |
| | 4,437 | | | Aurubis AG | | | 335,194 | |
| | 25,697 | | | BASF SE | | | 1,302,818 | |
| | 27,697 | | | Bayer AG, Class Registered Shares | | | 856,181 | |
| | 29,247 | | | Bayerische Motoren Werke AG | | | 2,708,323 | |
| | 11,737 | | | Bechtle AG | | | 505,512 | |
| | 12,654 | | | Beiersdorf AG | | | 1,831,446 | |
| | 3,826 | | | Brenntag SE | | | 284,475 | |
| | 1,192 | | | Carl Zeiss Meditec AG | | | 87,193 | |
| | 29,968 | | | Commerzbank AG | | | 443,648 | |
| | 3,376 | | | Continental AG | | | 228,157 | |
| | 5,554 | | | Covestro AG*(b) | | | 340,100 | |
| | 8,893 | | | CTS Eventim AG & Co. KGaA | | | 834,322 | |
| | 14,195 | | | Daimler Truck Holding AG | | | 544,169 | |
| | 5,081 | | | Delivery Hero SE, Class A Shares*(b) | | | 160,336 | |
| | 53,138 | | | Deutsche Bank AG, Class Registered Shares | | | 864,098 | |
| | 5,483 | | | Deutsche Boerse AG | | | 1,230,298 | |
| | 17,402 | | | Deutsche Lufthansa AG, Class Registered Shares | | | 113,310 | |
| | 29,173 | | | Deutsche Post AG | | | 1,267,455 | |
| | 302,098 | | | Deutsche Telekom AG, Class Registered Shares | | | 8,577,695 | |
| | 65,031 | | | E.ON SE | | | 921,362 | |
| | 7,319 | | | Evonik Industries AG | | | 162,248 | |
| | 17,378 | | | Freenet AG | | | 506,666 | |
| | 6,051 | | | Fresenius Medical Care AG | | | 233,298 | |
| | 11,979 | | | Fresenius SE & Co. KGaA* | | | 441,729 | |
| | 15,711 | | | GEA Group AG | | | 736,895 | |
| | 4,304 | | | Gerresheimer AG | | | 493,541 | |
| | 1,752 | | | Hannover Rueck SE | | | 496,785 | |
| | 4,027 | | | Heidelberg Materials AG | | | 426,121 | |
| | 3,162 | | | Henkel AG & Co. KGaA | | | 262,762 | |
| | 302,866 | | | Infineon Technologies AG | | | 11,032,607 | |
| | 2,142 | | | Knorr-Bremse AG | | | 176,413 | |
| | 125,932 | | | Lanxess AG | | | 3,554,383 | |
| | 2,092 | | | LEG Immobilien SE | | | 200,924 | |
| | 21,477 | | | Mercedes-Benz Group AG | | | 1,481,029 | |
| | 27,306 | | | Merck KGaA | | | 5,313,838 | |
| | 1,612 | | | MTU Aero Engines AG | | | 481,089 | |
| | 3,933 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 2,127,481 | |
See Notes to Financial Statements.
80
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Germany — 8.1% — (continued) | |
| | 1,668 | | | Nemetschek SE | | $ | 173,872 | |
| | 20,053 | | | Nordex SE* | | | 318,495 | |
| | 3,134 | | | Puma SE | | | 135,455 | |
| | 159 | | | Rational AG | | | 160,347 | |
| | 1,285 | | | Rheinmetall AG | | | 767,489 | |
| | 101,938 | | | RWE AG | | | 3,678,684 | |
| | 107,566 | | | SAP SE | | | 23,461,941 | |
| | 7,643 | | | Scout24 SE(b) | | | 583,900 | |
| | 37,906 | | | Siemens AG, Class Registered Shares | | | 7,091,552 | |
| | 18,463 | | | Siemens Energy AG* | | | 532,013 | |
| | 8,208 | | | Siemens Healthineers AG(b) | | | 477,196 | |
| | 4,702 | | | SUSS MicroTec SE | | | 301,558 | |
| | 3,883 | | | Symrise AG, Class A Shares | | | 511,384 | |
| | 45,337 | | | TAG Immobilien AG* | | | 743,691 | |
| | 1,873 | | | Talanx AG | | | 161,273 | |
| | 17,096 | | | TeamViewer SE*(b) | | | 236,005 | |
| | 20,957 | | | Vonovia SE | | | 722,723 | |
| | 6,630 | | | Zalando SE*(b) | | | 171,966 | |
| | | | | | | | |
| | | | Total Germany | | | 106,588,854 | |
| | | | | | | | |
|
| | Hong Kong — 2.4% | |
| | 799,600 | | | AIA Group Ltd. | | | 5,703,416 | |
| | 490,000 | | | BOC Hong Kong Holdings Ltd. | | | 1,543,662 | |
| | 58,500 | | | CK Asset Holdings Ltd. | | | 237,006 | |
| | 74,000 | | | CK Hutchison Holdings Ltd. | | | 409,166 | |
| | 16,000 | | | CK Infrastructure Holdings Ltd. | | | 118,484 | |
| | 281,500 | | | CLP Holdings Ltd. | | | 2,520,230 | |
| | 1,458 | | | Futu Holdings Ltd., ADR* | | | 92,670 | |
| | 61,000 | | | Galaxy Entertainment Group Ltd. | | | 237,079 | |
| | 22,800 | | | Hang Seng Bank Ltd. | | | 275,013 | |
| | 44,894 | | | Henderson Land Development Co., Ltd. | | | 140,117 | |
| | 113,000 | | | HKT Trust & HKT Ltd., Class Miscella Shares | | | 143,686 | |
| | 330,380 | | | Hong Kong & China Gas Co., Ltd. | | | 268,201 | |
| | 34,399 | | | Hong Kong Exchanges & Clearing Ltd. | | | 1,054,471 | |
| | 32,700 | | | Hongkong Land Holdings Ltd. | | | 122,654 | |
| | 55,700 | | | Jardine Matheson Holdings Ltd. | | | 2,008,528 | |
| | 116,000 | | | Kerry Properties Ltd. | | | 218,075 | |
| | 361,880 | | | Link REIT | | | 1,706,549 | |
| | 43,500 | | | MTR Corp., Ltd. | | | 153,985 | |
| | 42,500 | | | Power Assets Holdings Ltd. | | | 296,056 | |
| | 1,241,378 | | | Prudential PLC | | | 10,736,549 | |
| | 110,646 | | | Sino Land Co., Ltd. | | | 118,337 | |
| | 44,000 | | | SITC International Holdings Co., Ltd. | | | 103,560 | |
| | 43,500 | | | Sun Hung Kai Properties Ltd. | | | 424,788 | |
| | 13,000 | | | Swire Pacific Ltd., Class A Shares | | | 110,654 | |
| | 106,000 | | | Techtronic Industries Co., Ltd. | | | 1,425,651 | |
| | 372,000 | | | United Laboratories International Holdings Ltd. (The) | | | 426,269 | |
| | 242,000 | | | WH Group Ltd.(b) | | | 175,903 | |
| | 27,000 | | | Wharf Holdings Ltd. (The) | | | 70,998 | |
| | 46,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 134,202 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 30,975,959 | |
| | | | | | | | |
|
| | Indonesia — 0.1% | |
| | 1,742,400 | | | Bank Central Asia Tbk PT | | | 1,164,677 | |
| | | | | | | | |
|
| | Ireland — 1.0% | |
| | 5,584 | | | AerCap Holdings NV | | | 543,993 | |
| | 46,565 | | | AIB Group PLC | | | 280,686 | |
| | 99,393 | | | Bank of Ireland Group PLC | | | 1,144,826 | |
See Notes to Financial Statements.
81
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Ireland — 1.0% — (continued) | |
| | 76,991 | | | Dalata Hotel Group PLC | | $ | 375,391 | |
| | 6,975 | | | DCC PLC | | | 493,752 | |
| | 136,661 | | | Experian PLC | | | 6,655,041 | |
| | 31,747 | | | Glanbia PLC | | | 563,043 | |
| | 12,317 | | | James Hardie Industries PLC, CDI* | | | 462,704 | |
| | 4,191 | | | Kerry Group PLC, Class A Shares | | | 420,728 | |
| | 12,602 | | | Kingspan Group PLC | | | 1,104,703 | |
| | 13,538 | | | Smurfit WestRock PLC | | | 641,972 | |
| | | | | | | | |
| | | | Total Ireland | | | 12,686,839 | |
| | | | | | | | |
|
| | Isle of Man — 0.0%@ | |
| | 44,349 | | | Playtech PLC* | | | 380,165 | |
| | | | | | | | |
|
| | Israel — 0.4% | |
| | 1,382 | | | Azrieli Group Ltd. | | | 93,973 | |
| | 34,660 | | | Bank Hapoalim BM | | | 345,649 | |
| | 41,584 | | | Bank Leumi Le-Israel BM | | | 401,838 | |
| | 10,844 | | | Check Point Software Technologies Ltd.* | | | 2,087,470 | |
| | 1,233 | | | CyberArk Software Ltd.* | | | 353,550 | |
| | 877 | | | Elbit Systems Ltd. | | | 180,039 | |
| | 2,737 | | | Global E-Online Ltd.* | | | 94,208 | |
| | 23,553 | | | ICL Group Ltd. | | | 107,168 | |
| | 35,275 | | | Israel Discount Bank Ltd., Class A Shares | | | 195,780 | |
| | 4,203 | | | Mizrahi Tefahot Bank Ltd. | | | 160,934 | |
| | 1,040 | | | Monday.com Ltd.* | | | 276,526 | |
| | 1,784 | | | Nice Ltd.* | | | 310,127 | |
| | 32,757 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 618,125 | |
| | 1,538 | | | Wix.com Ltd.* | | | 256,262 | |
| | | | | | | | |
| | | | Total Israel | | | 5,481,649 | |
| | | | | | | | |
|
| | Italy — 2.9% | |
| | 3,718 | | | Amplifon SpA | | | 120,280 | |
| | 13,667 | | | Azimut Holding SpA | | | 345,738 | |
| | 150,778 | | | Banco BPM SpA | | | 1,028,127 | |
| | 3,153 | | | Brunello Cucinelli SpA | | | 309,999 | |
| | 18,161 | | | Buzzi SpA | | | 713,547 | |
| | 16,792 | | | Davide Campari-Milano NV | | | 155,214 | |
| | 680 | | | DiaSorin SpA | | | 78,569 | |
| | 1,167,662 | | | Enel SpA | | | 8,882,465 | |
| | 65,290 | | | Eni SpA | | | 1,063,520 | |
| | 10,872 | | | Ferrari NV | | | 5,403,702 | |
| | 147,071 | | | FinecoBank Banca Fineco SpA | | | 2,520,316 | |
| | 29,429 | | | Generali | | | 811,773 | |
| | 10,003 | | | Infrastrutture Wireless Italiane SpA(b) | | | 119,692 | |
| | 416,884 | | | Intesa Sanpaolo SpA | | | 1,742,014 | |
| | 148,762 | | | Iren SpA | | | 322,461 | |
| | 20,245 | | | Iveco Group NV | | | 214,292 | |
| | 22,661 | | | Leonardo SpA | | | 580,482 | |
| | 15,200 | | | Mediobanca Banca di Credito Finanziario SpA | | | 257,778 | |
| | 6,153 | | | Moncler SpA | | | 377,245 | |
| | 18,495 | | | Nexi SpA*(b) | | | 129,612 | |
| | 14,934 | | | Poste Italiane SpA(b) | | | 207,759 | |
| | 7,639 | | | Prysmian SpA | | | 537,271 | |
| | 47,797 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 2,805,185 | |
| | 2,362 | | | Reply SpA | | | 373,401 | |
| | 58,564 | | | Snam SpA | | | 290,668 | |
| | 344,248 | | | Telecom Italia SpA* | | | 91,260 | |
| | 40,179 | | | Terna — Rete Elettrica Nazionale | | | 350,241 | |
| | 191,903 | | | UniCredit SpA | | | 7,974,922 | |
| | | | | | | | |
| | | | Total Italy | | | 37,807,533 | |
| | | | | | | | |
See Notes to Financial Statements.
82
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 19.3% | |
| | 20,400 | | | ABC-Mart Inc.(a) | | $ | 417,374 | |
| | 13,800 | | | Adastria Co., Ltd.(a) | | | 341,796 | |
| | 22,300 | | | Advantest Corp. | | | 1,035,722 | |
| | 18,100 | | | Aeon Co., Ltd. | | | 453,284 | |
| | 5,800 | | | AGC Inc. | | | 183,405 | |
| | 5,800 | | | Aisin Corp. | | | 203,408 | |
| | 13,600 | | | Ajinomoto Co., Inc. | | | 522,380 | |
| | 31,300 | | | Amada Co., Ltd. | | | 323,883 | |
| | 5,000 | | | ANA Holdings Inc. | | | 101,106 | |
| | 13,900 | | | Asahi Group Holdings Ltd. | | | 517,886 | |
| | 37,500 | | | Asahi Kasei Corp. | | | 266,197 | |
| | 48,600 | | | Asics Corp. | | | 967,559 | |
| | 51,800 | | | Astellas Pharma Inc. | | | 645,481 | |
| | 17,000 | | | Bandai Namco Holdings Inc. | | | 365,559 | |
| | 50,800 | | | Bridgestone Corp. | | | 1,991,758 | |
| | 6,000 | | | Brother Industries Ltd. | | | 112,440 | |
| | 27,100 | | | Canon Inc. | | | 935,773 | |
| | 10,200 | | | Capcom Co., Ltd. | | | 222,850 | |
| | 22,200 | | | Central Japan Railway Co. | | | 515,788 | |
| | 15,800 | | | Chiba Bank Ltd. (The) | | | 133,253 | |
| | 17,500 | | | Chubu Electric Power Co., Inc. | | | 218,669 | |
| | 19,200 | | | Chugai Pharmaceutical Co., Ltd. | | | 974,174 | |
| | 53,000 | | | Citizen Watch Co., Ltd. | | | 342,847 | |
| | 26,800 | | | Concordia Financial Group Ltd. | | | 151,871 | |
| | 31,500 | | | Credit Saison Co., Ltd. | | | 700,202 | |
| | 5,400 | | | Dai Nippon Printing Co., Ltd. | | | 194,877 | |
| | 54,900 | | | Daicel Corp. | | | 493,602 | |
| | 68,100 | | | Daido Steel Co., Ltd. | | | 679,934 | |
| | 10,000 | | | Daifuku Co., Ltd. | | | 193,932 | |
| | 25,900 | | | Dai-ichi Life Holdings Inc. | | | 746,907 | |
| | 53,300 | | | Daiichi Sankyo Co., Ltd. | | | 2,242,073 | |
| | 37,900 | | | Daikin Industries Ltd. | | | 4,823,802 | |
| | 1,700 | | | Daito Trust Construction Co., Ltd. | | | 210,297 | |
| | 16,300 | | | Daiwa House Industry Co., Ltd. | | | 503,132 | |
| | 39,300 | | | Daiwa Securities Group Inc. | | | 293,679 | |
| | 54,300 | | | Denso Corp. | | | 841,458 | |
| | 4,800 | | | Dentsu Group Inc. | | | 147,944 | |
| | 7,400 | | | Dexerials Corp. | | | 331,035 | |
| | 2,700 | | | Disco Corp. | | | 799,685 | |
| | 13,100 | | | DMG Mori Co., Ltd. | | | 315,100 | |
| | 26,200 | | | East Japan Railway Co. | | | 504,873 | |
| | 40,500 | | | Ebara Corp. | | | 553,261 | |
| | 7,700 | | | Eisai Co., Ltd. | | | 321,398 | |
| | 81,550 | | | ENEOS Holdings Inc. | | | 444,090 | |
| | 371,100 | | | FANUC Corp. | | | 10,941,130 | |
| | 5,500 | | | Fast Retailing Co., Ltd. | | | 1,768,144 | |
| | 4,100 | | | Fuji Electric Co., Ltd. | | | 247,467 | |
| | 7,700 | | | Fuji Soft Inc. | | | 469,258 | |
| | 129,200 | | | FUJIFILM Holdings Corp. | | | 3,482,567 | |
| | 35,000 | | | Fujikura Ltd. | | | 1,020,591 | |
| | 338,100 | | | Fujitsu Ltd. | | | 6,082,766 | |
| | 4,000 | | | Fuyo General Lease Co., Ltd. | | | 313,224 | |
| | 15,100 | | | GS Yuasa Corp. | | | 287,143 | |
| | 4,100 | | | Hamamatsu Photonics KK | | | 109,283 | |
| | 7,600 | | | Hankyu Hanshin Holdings Inc. | | | 233,416 | |
| | 400 | | | Hikari Tsushin Inc. | | | 84,488 | |
See Notes to Financial Statements.
83
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 19.3% — (continued) | |
| | 3,300 | | | Hitachi Construction Machinery Co., Ltd. | | $ | 80,663 | |
| | 266,800 | | | Hitachi Ltd. | | | 6,546,892 | |
| | 43,100 | | | Hitachi Zosen Corp. | | | 285,969 | |
| | 128,800 | | | Honda Motor Co., Ltd. | | | 1,412,073 | |
| | 4,800 | | | Horiba Ltd. | | | 322,304 | |
| | 2,600 | | | Hoshizaki Corp. | | | 84,204 | |
| | 43,000 | | | Hoya Corp. | | | 6,120,967 | |
| | 11,900 | | | Hulic Co., Ltd. | | | 123,290 | |
| | 3,400 | | | Ibiden Co., Ltd. | | | 118,654 | |
| | 27,885 | | | Idemitsu Kosan Co., Ltd. | | | 203,237 | |
| | 44,100 | | | INFRONEER Holdings Inc. | | | 370,520 | |
| | 26,900 | | | Inpex Corp. | | | 403,305 | |
| | 954 | | | Invincible Investment Corp., REIT | | | 422,395 | |
| | 17,900 | | | Isuzu Motors Ltd. | | | 269,951 | |
| | 44,400 | | | ITOCHU Corp. | | | 2,363,159 | |
| | 3,700 | | | Japan Airlines Co., Ltd. | | | 62,423 | |
| | 90,100 | | | Japan Exchange Group Inc. | | | 2,094,939 | |
| | 40,500 | | | Japan Post Bank Co., Ltd. | | | 380,248 | |
| | 55,900 | | | Japan Post Holdings Co., Ltd. | | | 546,626 | |
| | 4,900 | | | Japan Post Insurance Co., Ltd. | | | 92,609 | |
| | 38 | | | Japan Real Estate Investment Corp., REIT | | | 152,827 | |
| | 34,500 | | | Japan Tobacco Inc. | | | 1,000,240 | |
| | 11,100 | | | Jeol Ltd. | | | 502,716 | |
| | 16,600 | | | JFE Holdings Inc. | | | 229,830 | |
| | 11,700 | | | Kajima Corp. | | | 214,725 | |
| | 10,100 | | | Kaneka Corp. | | | 261,955 | |
| | 21,800 | | | Kansai Electric Power Co., Inc. (The) | | | 387,702 | |
| | 13,800 | | | Kao Corp. | | | 620,124 | |
| | 9,900 | | | Kawasaki Kisen Kaisha Ltd.(a) | | | 146,513 | |
| | 110,000 | | | KDDI Corp. | | | 3,704,695 | |
| | 205 | | | KDX Realty Investment Corp., REIT, Class A Shares | | | 227,162 | |
| | 3,700 | | | Keisei Electric Railway Co., Ltd. | | | 117,104 | |
| | 18,100 | | | Keyence Corp. | | | 8,712,897 | |
| | 18,900 | | | Kikkoman Corp. | | | 213,726 | |
| | 15,300 | | | Kinden Corp. | | | 328,524 | |
| | 2,200 | | | Kintetsu Group Holdings Co., Ltd. | | | 51,403 | |
| | 22,200 | | | Kirin Holdings Co., Ltd. | | | 335,674 | |
| | 3,900 | | | Kobe Bussan Co., Ltd. | | | 113,266 | |
| | 36,700 | | | Kokusai Electric Corp. | | | 998,761 | |
| | 27,100 | | | Komatsu Ltd. | | | 754,649 | |
| | 2,700 | | | Konami Group Corp. | | | 242,768 | |
| | 121,900 | | | Kubota Corp. | | | 1,709,940 | |
| | 36,700 | | | Kyocera Corp. | | | 453,349 | |
| | 6,700 | | | Kyowa Kirin Co., Ltd. | | | 152,914 | |
| | 16,700 | | | Kyushu Railway Co. | | | 446,647 | |
| | 2,300 | | | Lasertec Corp. | | | 448,110 | |
| | 72,900 | | | LY Corp. | | | 201,127 | |
| | 12,700 | | | M3 Inc. | | | 122,348 | |
| | 6,300 | | | Makita Corp. | | | 211,682 | |
| | 41,800 | | | Marubeni Corp. | | | 720,469 | |
| | 11,200 | | | MatsukiyoCocokara & Co. | | | 181,236 | |
| | 16,000 | | | Mazda Motor Corp. | | | 135,259 | |
| | 2,800 | | | McDonald’s Holdings Co. Japan Ltd. | | | 123,297 | |
| | 144,600 | | | Mebuki Financial Group Inc. | | | 570,801 | |
| | 7,200 | | | MEIJI Holdings Co., Ltd. | | | 178,952 | |
| | 11,300 | | | MINEBEA MITSUMI Inc. | | | 238,856 | |
| | 113,100 | | | MISUMI Group Inc. | | | 2,145,349 | |
See Notes to Financial Statements.
84
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 19.3% — (continued) | |
| | 39,900 | | | Mitsubishi Chemical Group Corp. | | $ | 233,585 | |
| | 96,900 | | | Mitsubishi Corp. | | | 2,017,845 | |
| | 54,000 | | | Mitsubishi Electric Corp. | | | 902,018 | |
| | 98,000 | | | Mitsubishi Estate Co., Ltd. | | | 1,689,561 | |
| | 16,100 | | | Mitsubishi Gas Chemical Co., Inc. | | | 299,837 | |
| | 21,300 | | | Mitsubishi HC Capital Inc. | | | 153,909 | |
| | 94,000 | | | Mitsubishi Heavy Industries Ltd. | | | 1,267,137 | |
| | 319,500 | | | Mitsubishi UFJ Financial Group Inc. | | | 3,377,131 | |
| | 73,900 | | | Mitsui & Co., Ltd. | | | 1,605,478 | |
| | 4,000 | | | Mitsui Chemicals Inc. | | | 107,199 | |
| | 74,800 | | | Mitsui Fudosan Co., Ltd. | | | 811,049 | |
| | 10,000 | | | Mitsui OSK Lines Ltd.(a) | | | 361,333 | |
| | 68,690 | | | Mizuho Financial Group Inc. | | | 1,428,221 | |
| | 6,400 | | | MonotaRO Co., Ltd. | | | 101,245 | |
| | 17,300 | | | Morinaga Milk Industry Co., Ltd. | | | 399,054 | |
| | 147,600 | | | MS&AD Insurance Group Holdings Inc. | | | 3,394,871 | |
| | 300,500 | | | Murata Manufacturing Co., Ltd. | | | 6,290,448 | |
| | 7,300 | | | NEC Corp. | | | 649,788 | |
| | 21,000 | | | NET One Systems Co., Ltd. | | | 489,221 | |
| | 9,500 | | | Nexon Co., Ltd. | | | 187,133 | |
| | 11,500 | | | Nidec Corp. | | | 471,854 | |
| | 59,100 | | | Nintendo Co., Ltd. | | | 3,245,165 | |
| | 60 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 271,133 | |
| | 44 | | | Nippon Building Fund Inc., REIT | | | 197,841 | |
| | 11,900 | | | Nippon Electric Glass Co., Ltd. | | | 283,888 | |
| | 25,800 | | | Nippon Paint Holdings Co., Ltd. | | | 162,745 | |
| | 66 | | | Nippon Prologis REIT Inc. | | | 116,427 | |
| | 4,300 | | | Nippon Sanso Holdings Corp. | | | 147,987 | |
| | 24,300 | | | Nippon Steel Corp.(a) | | | 553,222 | |
| | 836,800 | | | Nippon Telegraph & Telephone Corp. | | | 894,541 | |
| | 13,400 | | | Nippon Yusen KK(a) | | | 486,991 | |
| | 61,900 | | | Nissan Motor Co., Ltd.(a) | | | 181,908 | |
| | 5,200 | | | Nissin Foods Holdings Co., Ltd. | | | 135,491 | |
| | 83,200 | | | Nissui Corp. | | | 526,794 | |
| | 17,600 | | | Nitori Holdings Co., Ltd. | | | 2,613,248 | |
| | 8,300 | | | Nitto Boseki Co., Ltd. | | | 331,611 | |
| | 4,400 | | | Nitto Denko Corp. | | | 369,067 | |
| | 84,200 | | | Nomura Holdings Inc. | | | 495,519 | |
| | 4,000 | | | Nomura Real Estate Holdings Inc. | | | 115,095 | |
| | 10,980 | | | Nomura Research Institute Ltd. | | | 370,698 | |
| | 18,500 | | | NTT Data Group Corp. | | | 282,167 | |
| | 18,300 | | | Obayashi Corp. | | | 235,497 | |
| | 23,800 | | | Obic Co., Ltd. | | | 4,127,344 | |
| | 34,500 | | | Olympus Corp. | | | 631,136 | |
| | 5,500 | | | Omron Corp. | | | 228,512 | |
| | 10,900 | | | Ono Pharmaceutical Co., Ltd. | | | 161,212 | |
| | 1,100 | | | Oracle Corp. Japan | | | 99,429 | |
| | 31,400 | | | Oriental Land Co., Ltd. | | | 856,151 | |
| | 33,100 | | | ORIX Corp. | | | 831,041 | |
| | 10,400 | | | Osaka Gas Co., Ltd. | | | 256,514 | |
| | 6,800 | | | Otsuka Corp. | | | 161,571 | |
| | 12,000 | | | Otsuka Holdings Co., Ltd. | | | 705,590 | |
| | 11,600 | | | Pan Pacific International Holdings Corp. | | | 296,216 | |
| | 66,500 | | | Panasonic Holdings Corp. | | | 560,045 | |
| | 33,500 | | | Park24 Co., Ltd.* | | | 403,053 | |
| | 45,300 | | | Rakuten Group Inc. | | | 323,166 | |
| | 72,000 | | | Recruit Holdings Co., Ltd. | | | 4,497,052 | |
See Notes to Financial Statements.
85
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 19.3% — (continued) | |
| | 507,700 | | | Renesas Electronics Corp. | | $ | 8,854,403 | |
| | 70,000 | | | Rengo Co., Ltd. | | | 483,733 | |
| | 60,200 | | | Resona Holdings Inc. | | | 427,459 | |
| | 19,800 | | | Resorttrust Inc. | | | 376,903 | |
| | 13,600 | | | Ricoh Co., Ltd. | | | 143,250 | |
| | 8,800 | | | Rohm Co., Ltd. | | | 111,385 | |
| | 80,800 | | | Round One Corp. | | | 493,105 | |
| | 46,400 | | | Sankyo Co., Ltd. | | | 669,886 | |
| | 8,800 | | | Sankyu Inc. | | | 288,205 | |
| | 48,500 | | | Santen Pharmaceutical Co., Ltd. | | | 624,352 | |
| | 34,100 | | | Sanwa Holdings Corp. | | | 779,396 | |
| | 9,700 | | | Sawai Group Holdings Co., Ltd. | | | 412,815 | |
| | 7,900 | | | SBI Holdings Inc. | | | 194,440 | |
| | 2,400 | | | SCREEN Holdings Co., Ltd. | | | 181,466 | |
| | 3,900 | | | SCSK Corp. | | | 78,394 | |
| | 5,900 | | | Secom Co., Ltd. | | | 430,762 | |
| | 8,200 | | | Seiko Epson Corp. | | | 151,751 | |
| | 33,000 | | | Sekisui Chemical Co., Ltd. | | | 503,585 | |
| | 17,400 | | | Sekisui House Ltd. | | | 446,828 | |
| | 376,400 | | | Seven & i Holdings Co., Ltd.(a) | | | 5,429,127 | |
| | 7,200 | | | SG Holdings Co., Ltd. | | | 78,408 | |
| | 67,400 | | | Shimadzu Corp. | | | 2,250,522 | |
| | 7,700 | | | Shimano Inc. | | | 1,450,065 | |
| | 171,200 | | | Shin-Etsu Chemical Co., Ltd. | | | 7,590,238 | |
| | 7,600 | | | Shionogi & Co., Ltd. | | | 355,439 | |
| | 12,300 | | | Shiseido Co., Ltd. | | | 271,914 | |
| | 13,500 | | | Shizuoka Financial Group Inc. | | | 120,641 | |
| | 15,900 | | | SMC Corp. | | | 7,342,513 | |
| | 12,100 | | | Socionext Inc. | | | 271,234 | |
| | 82,200 | | | Softbank Corp. | | | 1,150,043 | |
| | 29,400 | | | SoftBank Group Corp. | | | 1,709,949 | |
| | 26,900 | | | Sompo Holdings Inc. | | | 637,341 | |
| | 68,800 | | | Sony Group Corp. | | | 6,722,880 | |
| | 17,400 | | | Subaru Corp. | | | 331,895 | |
| | 10,200 | | | SUMCO Corp. | | | 117,896 | |
| | 13,300 | | | Sumitomo Bakelite Co., Ltd. | | | 356,132 | |
| | 30,400 | | | Sumitomo Corp. | | | 713,937 | |
| | 21,100 | | | Sumitomo Electric Industries Ltd. | | | 350,391 | |
| | 13,900 | | | Sumitomo Forestry Co., Ltd. | | | 585,108 | |
| | 6,700 | | | Sumitomo Metal Mining Co., Ltd. | | | 188,632 | |
| | 102,900 | | | Sumitomo Mitsui Financial Group Inc. | | | 6,831,325 | |
| | 18,300 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 464,413 | |
| | 8,700 | | | Sumitomo Realty & Development Co., Ltd. | | | 298,170 | |
| | 4,100 | | | Suntory Beverage & Food Ltd. | | | 150,591 | |
| | 45,300 | | | Suzuki Motor Corp. | | | 531,483 | |
| | 173,900 | | | Sysmex Corp. | | | 3,374,558 | |
| | 13,600 | | | T&D Holdings Inc. | | | 230,050 | |
| | 4,800 | | | Taisei Corp. | | | 216,772 | |
| | 47,600 | | | Takashimaya Co., Ltd. | | | 366,000 | |
| | 142,354 | | | Takeda Pharmaceutical Co., Ltd. | | | 4,232,389 | |
| | 10,500 | | | Takeuchi Manufacturing Co., Ltd. | | | 311,697 | |
| | 11,200 | | | TDK Corp. | | | 765,470 | |
| | 287,100 | | | Terumo Corp. | | | 5,322,561 | |
| | 6,200 | | | TIS Inc. | | | 155,238 | |
| | 3,000 | | | Toho Co., Ltd. | | | 115,921 | |
| | 35,100 | | | Tohoku Electric Power Co., Inc. | | | 317,974 | |
| | 54,200 | | | Tokio Marine Holdings Inc. | | | 2,069,456 | |
See Notes to Financial Statements.
86
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 19.3% — (continued) | |
| | 40,500 | | | Tokyo Electric Power Co. Holdings Inc.* | | $ | 193,825 | |
| | 12,900 | | | Tokyo Electron Ltd. | | | 2,311,371 | |
| | 10,500 | | | Tokyo Gas Co., Ltd. | | | 262,849 | |
| | 8,000 | | | Tokyo Seimitsu Co., Ltd. | | | 454,056 | |
| | 26,400 | | | Tokyo Tatemono Co., Ltd. | | | 441,502 | |
| | 14,900 | | | Tokyu Corp. | | | 182,373 | |
| | 52,900 | | | Tokyu Fudosan Holdings Corp. | | | 381,658 | |
| | 7,700 | | | TOPPAN Holdings Inc. | | | 232,476 | |
| | 38,200 | | | Toray Industries Inc. | | | 197,841 | |
| | 4,100 | | | TOTO Ltd. | | | 142,388 | |
| | 8,400 | | | Toyo Suisan Kaisha Ltd. | | | 524,435 | |
| | 26,700 | | | Toyo Tire Corp. | | | 394,741 | |
| | 19,300 | | | Toyoda Gosei Co., Ltd. | | | 346,972 | |
| | 21,700 | | | Toyota Industries Corp. | | | 1,716,105 | |
| | 296,000 | | | Toyota Motor Corp. | | | 5,647,076 | |
| | 19,400 | | | Toyota Tsusho Corp. | | | 373,777 | |
| | 3,800 | | | Trend Micro Inc. | | | 228,499 | |
| | 12,100 | | | Tsumura & Co. | | | 333,283 | |
| | 5,400 | | | Ulvac Inc. | | | 304,694 | |
| | 56,500 | | | Unicharm Corp. | | | 1,972,051 | |
| | 11,800 | | | West Japan Railway Co. | | | 225,358 | |
| | 7,300 | | | Yakult Honsha Co., Ltd. | | | 153,863 | |
| | 49,200 | | | Yamaguchi Financial Group Inc. | | | 575,520 | |
| | 21,900 | | | Yamaha Motor Co., Ltd. | | | 191,688 | |
| | 7,200 | | | Yaskawa Electric Corp.(a) | | | 239,906 | |
| | 6,600 | | | Yokogawa Electric Corp. | | | 185,565 | |
| | 2,700 | | | Zensho Holdings Co., Ltd. | | | 140,391 | |
| | 4,100 | | | ZOZO Inc. | | | 130,650 | |
| | | | | | | | |
| | | | Total Japan | | | 252,295,634 | |
| | | | | | | | |
|
| Jordan — 0.1% | |
| | 27,014 | | | Hikma Pharmaceuticals PLC | | | 703,557 | |
| | | | | | | | |
|
| Luxembourg — 0.3% | |
| | 163,552 | | | ArcelorMittal SA | | | 3,832,343 | |
| | 3,677 | | | Eurofins Scientific SE | | | 209,933 | |
| | 15,469 | | | Millicom International Cellular SA* | | | 396,307 | |
| | 13,048 | | | Tenaris SA | | | 192,430 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 4,631,013 | |
| | | | | | | | |
|
| Macau — 0.0%@ | |
| | 278,400 | | | MGM China Holdings Ltd. | | | 375,344 | |
| | 66,800 | | | Sands China Ltd.* | | | 122,317 | |
| | | | | | | | |
| | | | Total Macau | | | 497,661 | |
| | | | | | | | |
|
| Netherlands — 5.1% | |
| | 13,799 | | | ABN AMRO Bank NV, Dutch Certificate, GDR(b) | | | 236,726 | |
| | 628 | | | Adyen NV*(b) | | | 928,742 | |
| | 36,865 | | | Aegon Ltd. | | | 225,398 | |
| | 118,224 | | | Akzo Nobel NV | | | 7,576,274 | |
| | 1,675 | | | Argenx SE* | | | 867,425 | |
| | 2,775 | | | ASM International NV | | | 1,890,145 | |
| | 22,256 | | | ASML Holding NV | | | 20,129,980 | |
| | 18,092 | | | ASR Nederland NV | | | 886,207 | |
| | 6,242 | | | BE Semiconductor Industries NV | | | 819,830 | |
| | 8,161 | | | Euronext NV(b) | | | 871,789 | |
| | 2,956 | | | EXOR NV | | | 329,267 | |
| | 15,074 | | | Ferrovial SE | | | 631,904 | |
See Notes to Financial Statements.
87
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Netherlands — 5.1% — (continued) | |
| | 29,100 | | | Fugro NV | | $ | 727,073 | |
| | 3,718 | | | Heineken Holding NV | | | 279,870 | |
| | 27,569 | | | Heineken NV | | | 2,486,093 | |
| | 1,715 | | | IMCD NV | | | 281,183 | |
| | 300,078 | | | ING Groep NV | | | 5,446,227 | |
| | 4,134 | | | JDE Peet’s NV | | | 94,742 | |
| | 27,146 | | | Koninklijke Ahold Delhaize NV | | | 932,520 | |
| | 116,572 | | | Koninklijke KPN NV | | | 475,949 | |
| | 222,262 | | | Koninklijke Philips NV* | | | 6,691,514 | |
| | 7,855 | | | NN Group NV | | | 384,903 | |
| | 3,276 | | | NXP Semiconductors NV | | | 839,835 | |
| | 15,114 | | | OCI NV | | | 477,255 | |
| | 41,039 | | | Prosus NV* | | | 1,529,492 | |
| | 6,498 | | | QIAGEN NV* | | | 298,076 | |
| | 3,064 | | | Randstad NV | | | 147,704 | |
| | 100,580 | | | Stellantis NV | | | 1,690,237 | |
| | 108,939 | | | Universal Music Group NV | | | 2,847,940 | |
| | 31,465 | | | Wolters Kluwer NV | | | 5,367,502 | |
| | | | | | | | |
| | | | Total Netherlands | | | 66,391,802 | |
| | | | | | | | |
|
| New Zealand — 0.1% | |
| | 35,093 | | | Auckland International Airport Ltd. | | | 166,443 | |
| | 17,246 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 384,739 | |
| | 18,172 | | | Mercury NZ Ltd. | | | 71,108 | |
| | 38,099 | | | Meridian Energy Ltd. | | | 151,303 | |
| | 53,388 | | | Spark New Zealand Ltd. | | | 119,718 | |
| | 4,140 | | | Xero Ltd.*. | | | 402,769 | |
| | | | | | | | |
| | | | Total New Zealand | | | 1,296,080 | |
| | | | | | | | |
|
| Norway — 0.4% | |
| | 8,395 | | | Aker BP ASA | | | 202,142 | |
| | 119,990 | | | DNB Bank ASA | | | 2,539,541 | |
| | 24,043 | | | Equinor ASA | | | 644,737 | |
| | 6,317 | | | Gjensidige Forsikring ASA | | | 112,041 | |
| | 2,618 | | | Kongsberg Gruppen ASA | | | 277,200 | |
| | 13,214 | | | Mowi ASA | | | 230,249 | |
| | 164,303 | | | Norsk Hydro ASA | | | 921,004 | |
| | 21,624 | | | Orkla ASA | | | 192,333 | |
| | 1,727 | | | Salmar ASA | | | 89,770 | |
| | 18,814 | | | Telenor ASA | | | 233,150 | |
| | 4,669 | | | Yara International ASA | | | 136,077 | |
| | | | | | | | |
| | | | Total Norway | | | 5,578,244 | |
| | | | | | | | |
|
| Poland — 0.0%@ | |
| | 5,502 | | | InPost SA* | | | 102,052 | |
| | | | | | | | |
|
| Portugal — 0.2% | |
| | 94,542 | | | EDP SA | | | 397,582 | |
| | 13,378 | | | Galp Energia SGPS SA | | | 277,644 | |
| | 79,587 | | | Jeronimo Martins SGPS SA | | | 1,475,956 | |
| | | | | | | | |
| | | | Total Portugal | | | 2,151,182 | |
| | | | | | | | |
|
| Singapore — 1.2% | |
| | 1,649,158 | | | CapitaLand Ascendas REIT | | | 3,641,188 | |
| | 146,550 | | | CapitaLand Integrated Commercial Trust, REIT | | | 238,506 | |
| | 73,000 | | | CapitaLand Investment Ltd. | | | 151,868 | |
| | 111,440 | | | DBS Group Holdings Ltd. | | | 3,109,082 | |
| | 293,700 | | | Frasers Logistics & Commercial Trust, REIT | | | 245,620 | |
See Notes to Financial Statements.
88
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Singapore — 1.2% — (continued) | |
| | 182,700 | | | Genting Singapore Ltd. | | $ | 112,954 | |
| | 59,498 | | | Grab Holdings Ltd., Class A Shares* | | | 191,583 | |
| | 39,000 | | | Keppel Ltd. | | | 184,533 | |
| | 97,500 | | | Oversea-Chinese Banking Corp., Ltd. | | | 1,088,911 | |
| | 10,607 | | | Sea Ltd., ADR*. | | | 830,634 | |
| | 170,400 | | | Sembcorp Industries Ltd. | | | 644,154 | |
| | 46,550 | | | Singapore Airlines Ltd. | | | 224,158 | |
| | 23,600 | | | Singapore Exchange Ltd. | | | 196,175 | |
| | 53,300 | | | Singapore Technologies Engineering Ltd. | | | 181,902 | |
| | 219,900 | | | Singapore Telecommunications Ltd. | | | 527,699 | |
| | 149,503 | | | United Overseas Bank Ltd. | | | 3,606,498 | |
| | 54,700 | | | Wilmar International Ltd. | | | 131,691 | |
| | | | | | | | |
| | | | Total Singapore | | | 15,307,156 | |
| | | | | | | | |
|
| South Africa — 0.0%@ | |
| | 59,241 | | | Investec PLC | | | 451,502 | |
| | | | | | | | |
|
| South Korea — 1.5% | |
| | 15,036 | | | Classys Inc. | | | 565,998 | |
| | 1,802 | | | Dentium Co., Ltd. | | | 107,863 | |
| | 1,502 | | | Hanmi Pharm Co., Ltd. | | | 354,505 | |
| | 3,955 | | | HD Hyundai Electric Co., Ltd. | | | 909,030 | |
| | 6,229 | | | Kolmar Korea Co., Ltd. | | | 304,396 | |
| | 2,045 | | | LEENO Industrial Inc. | | | 301,129 | |
| | 268 | | | LG Innotek Co., Ltd. | | | 56,003 | |
| | 2,188 | | | LIG Nex1 Co., Ltd. | | | 319,285 | |
| | 6,688 | | | LOTTE Fine Chemical Co., Ltd. | | | 243,846 | |
| | 739 | | | NongShim Co., Ltd. | | | 213,665 | |
| | 2,307 | | | PharmaResearch Co., Ltd. | | | 301,837 | |
| | 18,041 | | | Samsung E&A Co., Ltd.* | | | 343,158 | |
| | 240,884 | | | Samsung Electronics Co., Ltd. | | | 13,492,370 | |
| | 3,077 | | | Samsung SDI Co., Ltd. | | | 818,476 | |
| | 6,018 | | | Shinhan Financial Group Co., Ltd. | | | 254,534 | |
| | 12,921 | | | SOLUM Co., Ltd.* | | | 183,200 | |
| | 4,858 | | | SOOP Co., Ltd. | | | 373,440 | |
| | | | | | | | |
| | | | Total South Korea | | | 19,142,735 | |
| | | | | | | | |
|
| Spain — 2.7% | |
| | 806 | | | Acciona SA | | | 109,287 | |
| | 37,832 | | | Acerinox SA | | | 398,709 | |
| | 6,240 | | | ACS Actividades de Construccion y Servicios SA | | | 283,616 | |
| | 9,353 | | | Aena SME SA(b) | | | 1,894,472 | |
| | 100,690 | | | Amadeus IT Group SA | | | 6,794,199 | |
| | 385,322 | | | Banco Bilbao Vizcaya Argentaria SA(a) | | | 4,092,082 | |
| | 154,509 | | | Banco de Sabadell SA | | | 332,366 | |
| | 449,306 | | | Banco Santander SA | | | 2,234,937 | |
| | 117,704 | | | Bankinter SA | | | 1,042,339 | |
| | 104,941 | | | CaixaBank SA | | | 634,280 | |
| | 15,045 | | | Cellnex Telecom SA(b) | | | 582,604 | |
| | 13,907 | | | Cia de Distribucion Integral Logista Holdings SA | | | 428,033 | |
| | 10,348 | | | EDP Renovaveis SA | | | 165,613 | |
| | 8,821 | | | Endesa SA | | | 186,222 | |
| | 9,187 | | | Grifols SA* | | | 102,095 | |
| | 334,460 | | | Iberdrola SA | | | 4,747,910 | |
| | 23,957 | | | Indra Sistemas SA | | | 448,868 | |
| | 165,490 | | | Industria de Diseno Textil SA | | | 8,985,374 | |
| | 4,131 | | | Laboratorios Farmaceuticos Rovi SA | | | 363,606 | |
| | 119,148 | | | Mapfre SA | | | 300,659 | |
| | 56,833 | | | Merlin Properties Socimi SA, REIT | | | 697,945 | |
| | 6,811 | | | Redeia Corp. SA | | | 129,672 | |
See Notes to Financial Statements.
89
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Spain — 2.7% — (continued) | |
| | 35,656 | | | Repsol SA | | $ | 492,597 | |
| | 119,277 | | | Telefonica SA | | | 540,133 | |
| | | | | | | | |
| | | | Total Spain | | | 35,987,618 | |
| | | | | | | | |
|
| Sweden — 2.1% | |
| | 7,338 | | | AddTech AB, Class B Shares | | | 232,154 | |
| | 17,794 | | | AFRY AB | | | 319,251 | |
| | 8,359 | | | Alfa Laval AB | | | 374,965 | |
| | 28,889 | | | Assa Abloy AB, Class B Shares | | | 932,215 | |
| | 75,316 | | | Atlas Copco AB, Class A Shares | | | 1,368,476 | |
| | 257,829 | | | Atlas Copco AB, Class B Shares | | | 4,129,310 | |
| | 17,023 | | | Avanza Bank Holding AB | | | 403,077 | |
| | 11,734 | | | Axfood AB | | | 312,718 | |
| | 9,650 | | | Beijer Ref AB, Class B Shares | | | 166,323 | |
| | 7,491 | | | Boliden AB | | | 229,546 | |
| | 19,938 | | | Epiroc AB, Class A Shares | | | 384,935 | |
| | 9,471 | | | Epiroc AB, Class B Shares | | | 168,539 | |
| | 11,350 | | | EQT AB | | | 380,131 | |
| | 17,786 | | | Essity AB, Class B Shares | | | 539,995 | |
| | 5,184 | | | Evolution AB(b) | | | 539,693 | |
| | 20,063 | | | Fastighets AB Balder, Class B Shares* | | | 157,536 | |
| | 6,811 | | | Getinge AB, Class B Shares | | | 141,821 | |
| | 16,261 | | | H & M Hennes & Mauritz AB, Class B Shares | | | 257,628 | |
| | 59,287 | | | Hexagon AB, Class B Shares | | | 610,360 | |
| | 2,318 | | | Holmen AB, Class B Shares | | | 94,967 | |
| | 10,691 | | | Husqvarna AB, Class B Shares | | | 72,139 | |
| | 3,371 | | | Industrivarden AB, Class A Shares | | | 121,358 | |
| | 4,509 | | | Industrivarden AB, Class C Shares | | | 162,113 | |
| | 7,668 | | | Indutrade AB | | | 241,425 | |
| | 4,018 | | | Investment AB Latour, Class B Shares | | | 121,532 | |
| | 50,117 | | | Investor AB, Class B Shares | | | 1,493,621 | |
| | 2,332 | | | L E Lundbergforetagen AB, Class B Shares | | | 128,123 | |
| | 6,664 | | | Lifco AB, Class B Shares | | | 223,964 | |
| | 9,406 | | | Loomis AB, Class B Shares | | | 320,221 | |
| | 22,202 | | | NCC AB, Class B Shares | | | 344,009 | |
| | 45,359 | | | Nibe Industrier AB, Class B Shares | | | 224,512 | |
| | 9,336 | | | Saab AB, Class B Shares | | | 220,694 | |
| | 6,611 | | | Sagax AB, Class B Shares | | | 174,505 | |
| | 110,466 | | | Sandvik AB | | | 2,353,911 | |
| | 14,421 | | | Securitas AB, Class B Shares | | | 168,933 | |
| | 44,932 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 694,398 | |
| | 9,673 | | | Skanska AB, Class B Shares | | | 195,647 | |
| | 9,547 | | | SKF AB, Class B Shares | | | 181,020 | |
| | 6,030 | | | Spotify Technology SA* | | | 2,067,566 | |
| | 16,329 | | | Svenska Cellulosa AB SCA, Class B Shares | | | 227,971 | |
| | 153,267 | | | Svenska Handelsbanken AB, Class A Shares | | | 1,588,046 | |
| | 24,465 | | | Swedbank AB, Class A Shares | | | 524,569 | |
| | 5,633 | | | Swedish Orphan Biovitrum AB* | | | 175,571 | |
| | 15,713 | | | Tele2 AB, Class B Shares | | | 178,346 | |
| | 82,470 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 615,156 | |
| | 69,034 | | | Telia Co. AB | | | 214,254 | |
| | 17,528 | | | Trelleborg AB, Class B Shares | | | 684,855 | |
| | 5,768 | | | Volvo AB, Class A Shares | | | 155,408 | |
See Notes to Financial Statements.
90
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Sweden — 2.1% — (continued) | |
| | 45,865 | | | Volvo AB, Class B Shares | | $ | 1,218,972 | |
| | 21,268 | | | Volvo Car AB, Class B Shares* | | | 60,956 | |
| | 41,085 | | | Wihlborgs Fastigheter AB | | | 432,356 | |
| | | | | | | | |
| | | | Total Sweden | | | 27,329,791 | |
| | | | | | | | |
|
| Switzerland — 8.5% | |
| | 45,988 | | | ABB Ltd., Class Registered Shares | | | 2,636,035 | |
| | 10,234 | | | Accelleron Industries AG | | | 535,048 | |
| | 5,000 | | | Adecco Group AG, Class Registered Shares | | | 169,907 | |
| | 34,787 | | | Alcon Inc. | | | 3,373,478 | |
| | 2,436 | | | Avolta AG* | | | 94,500 | |
| | 892 | | | Bachem Holding AG, Class B Shares | | | 85,302 | |
| | 1,262 | | | Baloise Holding AG, Class Registered Shares | | | 243,871 | |
| | 818 | | | Banque Cantonale Vaudoise, Class Registered Shares | | | 87,693 | |
| | 103 | | | Barry Callebaut AG, Class Registered Shares | | | 166,523 | |
| | 2,419 | | | BKW AG | | | 454,546 | |
| | 692 | | | Bucher Industries AG, Class Registered Shares | | | 290,575 | |
| | 168 | | | Chocoladefabriken Lindt & Spruengli AG | | | 2,218,633 | |
| | 3 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 392,690 | |
| | 31,438 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 4,959,575 | |
| | 53,363 | | | Clariant AG, Class Registered Shares* | | | 838,534 | |
| | 26,096 | | | Coca-Cola HBC AG* | | | 970,597 | |
| | 3,951 | | | DKSH Holding AG | | | 316,270 | |
| | 5,292 | | | DSM-Firmenich AG | | | 720,243 | |
| | 202 | | | EMS-Chemie Holding AG, Class Registered Shares | | | 169,267 | |
| | 1,822 | | | Flughafen Zurich AG, Class Registered Shares | | | 425,948 | |
| | 1,304 | | | Galderma Group AG* | | | 126,258 | |
| | 6,617 | | | Galenica AG(b) | | | 573,740 | |
| | 964 | | | Geberit AG, Class Registered Shares | | | 614,560 | |
| | 268 | | | Givaudan SA, Class Registered Shares | | | 1,374,521 | |
| | 299,403 | | | Glencore PLC* | | | 1,586,720 | |
| | 1,066 | | | Helvetia Holding AG, Class Registered Shares | | | 168,647 | |
| | 14,951 | | | Holcim AG* | | | 1,439,911 | |
| | 38,701 | | | Julius Baer Group Ltd. | | | 2,271,836 | |
| | 12,982 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 4,023,036 | |
| | 7,772 | | | Logitech International SA, Class Registered Shares | | | 705,510 | |
| | 10,266 | | | Lonza Group AG, Class Registered Shares | | | 6,719,735 | |
| | 106,461 | | | Nestlé SA, Class Registered Shares | | | 11,400,516 | |
| | 96,351 | | | Novartis AG, Class Registered Shares | | | 11,656,475 | |
| | 658 | | | Partners Group Holding AG | | | 946,954 | |
| | 5,225 | | | PSP Swiss Property AG, Class Registered Shares | | | 757,576 | |
| | 70,078 | | | Roche Holding AG | | | 23,707,199 | |
| | 11,731 | | | Sandoz Group AG | | | 515,533 | |
| | 1,280 | | | Schindler Holding AG | | | 355,466 | |
| | 580 | | | Schindler Holding AG, Class Registered Shares | | | 156,773 | |
| | 48,581 | | | SGS SA, Class Registered Shares | | | 5,412,641 | |
| | 569 | | | Siegfried Holding AG, Class Registered Shares* | | | 749,132 | |
| | 8,589 | | | SIG Group AG* | | | 181,524 | |
| | 4,433 | | | Sika AG, Class Registered Shares | | | 1,420,991 | |
| | 1,458 | | | Sonova Holding AG, Class Registered Shares | | | 507,918 | |
| | 19,337 | | | STMicroelectronics NV | | | 620,505 | |
| | 3,247 | | | Straumann Holding AG, Class Registered Shares | | | 483,593 | |
| | 4,767 | | | Sulzer AG, Class Registered Shares | | | 734,592 | |
| | 715 | | | Swatch Group AG (The) | | | 149,731 | |
| | 1,832 | | | Swatch Group AG (The), Class Registered Shares | | | 76,384 | |
| | 837 | | | Swiss Life Holding AG, Class Registered Shares | | | 676,482 | |
See Notes to Financial Statements.
91
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Switzerland — 8.5% — (continued) | |
| | 2,351 | | | Swiss Prime Site AG, Class Registered Shares | | $ | 264,511 | |
| | 8,667 | | | Swiss Re AG | | | 1,181,689 | |
| | 755 | | | Swisscom AG, Class Registered Shares | | | 476,863 | |
| | 2,483 | | | Swissquote Group Holding SA, Class Registered Shares | | | 895,683 | |
| | 1,828 | | | Temenos AG, Class Registered Shares | | | 127,350 | |
| | 95,065 | | | UBS Group AG, Class Registered Shares | | | 2,911,524 | |
| | 8,580 | | | VAT Group AG(b) | | | 4,422,681 | |
| | 4,205 | | | Zurich Insurance Group AG | | | 2,434,026 | |
| | | | | | | | |
| | | | Total Switzerland | | | 111,978,021 | |
| | | | | | | | |
|
| Taiwan — 0.6% | |
| | 36,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 1,073,992 | |
| | 42,300 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 7,262,910 | |
| | | | | | | | |
| | | | Total Taiwan | | | 8,336,902 | |
| | | | | | | | |
|
| United Kingdom — 16.8% | |
| | 27,860 | | | 3i Group PLC | | | 1,168,920 | |
| | 6,948 | | | 4imprint Group PLC | | | 484,238 | |
| | 7,256 | | | Admiral Group PLC | | | 279,561 | |
| | 36,422 | | | Anglo American PLC | | | 1,065,744 | |
| | 3,608 | | | ARM Holdings PLC, ADR*(a) | | | 479,431 | |
| | 12,599 | | | Ashtead Group PLC | | | 898,327 | |
| | 9,437 | | | Associated British Foods PLC | | | 309,769 | |
| | 106,117 | | | AstraZeneca PLC | | | 18,543,451 | |
| | 25,005 | | | Auto Trader Group PLC(b) | | | 280,981 | |
| | 76,644 | | | Aviva PLC | | | 511,475 | |
| | 176,351 | | | BAE Systems PLC | | | 3,159,782 | |
| | 91,906 | | | Balfour Beatty PLC | | | 505,633 | |
| | 3,795,285 | | | Barclays PLC | | | 11,491,767 | |
| | 39,165 | | | Barratt Developments PLC | | | 262,522 | |
| | 54,896 | | | Beazley PLC | | | 543,251 | |
| | 38,614 | | | Berkeley Group Holdings PLC | | | 2,540,466 | |
| | 5,863 | | | Birkenstock Holding PLC* | | | 292,564 | |
| | 1,798,153 | | | BP PLC | | | 10,187,417 | |
| | 187,545 | | | British American Tobacco PLC | | | 7,010,534 | |
| | 78,786 | | | British Land Co. PLC (The), REIT | | | 425,868 | |
| | 186,158 | | | BT Group PLC | | | 341,558 | |
| | 50,874 | | | Bunzl PLC | | | 2,375,622 | |
| | 61,789 | | | Burberry Group PLC | | | 545,786 | |
| | 153,603 | | | Centrica PLC | | | 261,480 | |
| | 6,096 | | | Coca-Cola Europacific Partners PLC | | | 490,667 | |
| | 275,719 | | | Compass Group PLC | | | 8,712,067 | |
| | 16,636 | | | Computacenter PLC | | | 597,853 | |
| | 123,050 | | | ConvaTec Group PLC(b) | | | 387,704 | |
| | 3,806 | | | Croda International PLC | | | 206,532 | |
| | 16,109 | | | CVS Group PLC | | | 239,989 | |
| | 148,836 | | | Deliveroo PLC, Class A Shares*(b) | | | 296,570 | |
| | 375,933 | | | Diageo PLC | | | 12,280,161 | |
| | 47,016 | | | Drax Group PLC | | | 394,448 | |
| | 47,706 | | | easyJet PLC | | | 297,985 | |
| | 23,258 | | | Endeavour Mining PLC | | | 490,778 | |
| | 17,393 | | | Entain PLC | | | 147,713 | |
| | 588,219 | | | GSK PLC | | | 12,904,389 | |
| | 544,891 | | | Haleon PLC | | | 2,735,584 | |
| | 11,049 | | | Halma PLC | | | 379,543 | |
| | 70,510 | | | Harbour Energy PLC | | | 277,488 | |
| | 11,273 | | | Hargreaves Lansdown PLC | | | 164,675 | |
See Notes to Financial Statements.
92
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Kingdom — 16.8% — (continued) | |
| | 539,907 | | | HSBC Holdings PLC | | $ | 4,732,408 | |
| | 15,903 | | | IMI PLC | | | 384,591 | |
| | 23,488 | | | Imperial Brands PLC | | | 675,017 | |
| | 46,470 | | | Inchcape PLC | | | 520,153 | |
| | 39,035 | | | Informa PLC | | | 429,599 | |
| | 4,758 | | | InterContinental Hotels Group PLC | | | 474,399 | |
| | 18,933 | | | Intermediate Capital Group PLC | | | 533,604 | |
| | 4,394 | | | Intertek Group PLC | | | 287,108 | |
| | 47,083 | | | J Sainsbury PLC | | | 181,637 | |
| | 79,192 | | | JD Sports Fashion PLC | | | 144,700 | |
| | 20,169 | | | JET2 PLC | | | 392,135 | |
| | 1,054,304 | | | Kingfisher PLC | | | 3,963,405 | |
| | 20,089 | | | Land Securities Group PLC, REIT | | | 167,048 | |
| | 1,039,408 | | | Legal & General Group PLC | | | 3,058,420 | |
| | 4,873,835 | | | Lloyds Banking Group PLC | | | 3,762,762 | |
| | 13,620 | | | London Stock Exchange Group PLC | | | 1,838,594 | |
| | 172,421 | | | LondonMetric Property PLC, REIT | | | 464,422 | |
| | 63,316 | | | M&G PLC | | | 179,447 | |
| | 149,332 | | | Man Group PLC | | | 439,035 | |
| | 165,770 | | | Marks & Spencer Group PLC | | | 748,474 | |
| | 39,255 | | | Melrose Industries PLC | | | 250,702 | |
| | 13,090 | | | Mondi PLC | | | 253,315 | |
| | 121,963 | | | MONY Group PLC | | | 344,028 | |
| | 357,800 | | | National Grid PLC | | | 4,717,261 | |
| | 537,259 | | | NatWest Group PLC | | | 2,442,397 | |
| | 3,436 | | | Next PLC | | | 460,267 | |
| | 14,469 | | | Nomad Foods Ltd. | | | 272,017 | |
| | 64,137 | | | OSB Group PLC | | | 312,594 | |
| | 17,783 | | | Pearson PLC | | | 247,201 | |
| | 9,115 | | | Persimmon PLC | | | 196,557 | |
| | 18,541 | | | Phoenix Group Holdings PLC | | | 138,633 | |
| | 71,784 | | | QinetiQ Group PLC | | | 455,860 | |
| | 194,648 | | | Reckitt Benckiser Group PLC | | | 11,160,514 | |
| | 170,496 | | | RELX PLC | | | 7,936,363 | |
| | 72,744 | | | Rentokil Initial PLC | | | 462,014 | |
| | 31,461 | | | Rio Tinto PLC | | | 1,972,062 | |
| | 2,136,205 | | | Rolls-Royce Holdings PLC* | | | 13,987,353 | |
| | 30,677 | | | Safestore Holdings PLC, REIT | | | 349,657 | |
| | 177,144 | | | Sage Group PLC (The) | | | 2,360,199 | |
| | 24,043 | | | Schroders PLC | | | 108,960 | |
| | 203,216 | | | Segro PLC, REIT | | | 2,336,348 | |
| | 227,752 | | | Serco Group PLC | | | 525,465 | |
| | 7,477 | | | Severn Trent PLC | | | 253,760 | |
| | 491,104 | | | Shell PLC | | | 17,467,825 | |
| | 25,133 | | | Smith & Nephew PLC | | | 387,700 | |
| | 9,774 | | | Smiths Group PLC | | | 232,546 | |
| | 7,058 | | | Spectris PLC | | | 277,528 | |
| | 2,011 | | | Spirax Group PLC | | | 204,642 | |
| | 30,989 | | | SSE PLC | | | 771,165 | |
| | 325,249 | | | Standard Chartered PLC | | | 3,349,259 | |
| | 301,634 | | | Taylor Wimpey PLC | | | 641,929 | |
| | 199,109 | | | Tesco PLC | | | 928,726 | |
| | 150,484 | | | Tritax Big Box REIT PLC | | | 322,184 | |
| | 140,630 | | | Unilever PLC | | | 9,094,270 | |
| | 20,180 | | | United Utilities Group PLC | | | 271,612 | |
| | 658,668 | | | Vodafone Group PLC | | | 645,653 | |
See Notes to Financial Statements.
93
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Kingdom — 16.8% — (continued) | |
| | 11,451 | | | Weir Group PLC (The) | | $ | 303,916 | |
| | 170,259 | | | WH Smith PLC | | | 2,868,516 | |
| | 37,862 | | | Whitbread PLC | | | 1,442,610 | |
| | 19,947 | | | Wise PLC, Class A Shares* | | | 186,030 | |
| | 31,080 | | | WPP PLC | | | 297,068 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 219,583,957 | |
| | | | | | | | |
|
| United States — 0.4% | |
| | 463 | | | Booking Holdings Inc. | | | 1,809,973 | |
| | 4,334 | | | Ferguson Enterprises Inc. | | | 891,547 | |
| | 16,235 | | | Liberty Media Corp.-Liberty Formula One, Class C Shares* | | | 1,267,142 | |
| | 1,710 | | | Linde PLC | | | 817,808 | |
| | | | | | | | |
| | | | Total United States | | | 4,786,470 | |
| | | | | | | | |
|
| Uruguay — 0.0%@ | |
| | 331 | | | MercadoLibre Inc.* | | | 682,409 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $944,239,612) | | | 1,276,747,547 | |
| | | | | | | | |
|
| PREFERRED STOCKS — 0.2% | |
|
| Germany — 0.2% | |
| | 1,468 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 126,841 | |
| | 15,795 | | | Dr ING hc F Porsche AG, Class Preferred Shares(b) | | | 1,236,200 | |
| | 4,720 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 431,776 | |
| | 4,631 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 208,185 | |
| | 721 | | | Sartorius AG, Class Preferred Shares | | | 198,904 | |
| | 5,962 | | | Volkswagen AG, Class Preferred Shares | | | 633,813 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $3,235,374) | | | 2,835,719 | |
| | | | | | | | |
|
| OPEN END MUTUAL FUND SECURITY — 0.1% | |
|
| United States — 0.1% | |
| | 30,256 | | | Vanguard FTSE Developed Markets ETF, Common Class Shares
(Cost — $1,259,009) | | | 1,585,112 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $948,733,995) | | | 1,281,168,378 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (c) — 2.5% | |
|
| MONEY MARKET FUND — 0.9% | |
| $ | 11,934,844 | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.106%(d)
(Cost — $11,934,844) | | | 11,934,844 | |
| | | | | | | | |
|
| TIME DEPOSITS — 1.6% | |
| | | | ANZ National Bank — Hong Kong: | | | | |
| | 218,131 | AUD | | 2.920% due 9/2/24 | | | 147,620 | |
| | 10,695 | NZD | | 3.410% due 9/2/24 | | | 6,686 | |
| | | | BBH — New York: | | | | |
| | 697,911 | DKK | | 2.250% due 9/2/24 | | | 103,431 | |
| | 355,223 | SEK | | 2.250% due 9/2/24 | | | 34,601 | |
| | 361,852 | NOK | | 3.260% due 9/2/24 | | | 34,122 | |
| | 10,019 | CAD | | 3.330% due 9/3/24 | | | 7,434 | |
| | 1,380 | ZAR | | 6.220% due 9/2/24 | | | 77 | |
| | | | BNP Paribas — Paris: | | | | |
| | 416,216 | CHF | | 0.500% due 9/2/24 | | | 489,666 | |
| | 16,333 | GBP | | 3.910% due 9/2/24 | | | 21,450 | |
See Notes to Financial Statements.
94
| | | | | | | | |
| International Equity Fund | |
| | |
Face Amount† | | | Security | | Value | |
|
| TIME DEPOSITS — 1.6% — (continued) | |
| $ | 2,974,456 | | | Canadian Imperial Bank of Commerce — Toronto, 4.680% due 9/3/24 | | $ | 2,974,456 | |
| | 924,506 | EUR | | Citibank — London, 2.570% due 9/2/24 | | | 1,021,995 | |
| | 863,394 | HKD | | HSBC Bank — Hong Kong, 2.020% due 9/2/24 | | | 110,722 | |
| | 159,770 | SGD | | HSBC Bank — Singapore, 2.260% due 9/2/24 | | | 122,429 | |
| | 2,784,881 | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | | 2,784,881 | |
| | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 19,274 | GBP | | 3.910% due 9/2/24 | | | 25,314 | |
| | 134,102 | | | 4.680% due 9/3/24 | | | 134,102 | |
| | | | Sumitomo Mitsui Banking Corp. — Tokyo: | | | | |
| | 70,468,504 | JPY | | 0.010% due 9/2/24 | | | 482,116 | |
| | 12,457,261 | | | 4.680% due 9/3/24 | | | 12,457,261 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $20,958,363) | | | 20,958,363 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $32,893,207) | | | 32,893,207 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.3%
(Cost — $981,627,202) | | | 1,314,061,585 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.3)% | | | (4,029,261 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,310,032,324 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $19,487,205 and represents 1.5% of net assets. |
| (c) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.6%. |
| (d) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2024, for International Equity Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation | |
International Equity Fund | | $ | 1,022,297,309 | | | $ | 399,038,602 | | | $ | (107,022,893) | | | $ | 292,015,709 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| CDI | | — Clearing House Electronics System (CHESS) Depositary Interest |
| ETF | | — Exchange-Traded Fund |
| GDR | | — Global Depositary Receipt |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
95
| | | | |
| International Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | |
Industrials | | | 18.1 | % |
Financials | | | 15.7 | |
Health Care | | | 14.9 | |
Information Technology | | | 12.1 | |
Consumer Discretionary | | | 10.9 | |
Consumer Staples | | | 8.9 | |
Materials | | | 5.9 | |
Energy | | | 3.6 | |
Communication Services | | | 3.4 | |
Utilities | | | 2.8 | |
Real Estate | | | 2.1 | |
Short-Term Investments | | | 1.6 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2024, International Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 Futures | | | 16 | | | | 9/24 | | | $ | 865,203 | | | $ | 879,231 | | | $ | 14,028 | |
FTSE 100 Index Futures | | | 4 | | | | 9/24 | | | | 431,449 | | | | 440,629 | | | | 9,180 | |
SPI 200 Index Futures | | | 1 | | | | 9/24 | | | | 129,039 | | | | 136,179 | | | | 7,140 | |
TOPIX Index Futures | | | 3 | | | | 9/24 | | | | 552,432 | | | | 557,350 | | | | 4,918 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 35,266 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, International Equity Fund had deposited cash of $180,105 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency abbreviations used in this schedule: |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| CHF | | — Swiss Franc |
| DKK | | — Danish Krone |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| JPY | | — Japanese Yen |
| NOK | | — Norwegian Krone |
| NZD | | — New Zealand Dollar |
| SEK | | — Swedish Krona |
| SGD | | — Singapore Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
96
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 96.8% | |
|
| Australia — 0.0%@ | |
| | 40,000 | | | MMG Ltd.* | | $ | 11,468 | |
| | | | | | | | |
|
| Brazil — 5.2% | |
| | 127,938 | | | Ambev SA | | | 291,994 | |
| | 15,076 | | | Atacadao SA* | | | 24,000 | |
| | 880,832 | | | B3 SA — Brasil Bolsa Balcao | | | 1,982,191 | |
| | 42,982 | | | Banco Bradesco SA | | | 107,862 | |
| | 29,651 | | | Banco BTG Pactual SA | | | 187,126 | |
| | 348,192 | | | Banco do Brasil SA | | | 1,737,669 | |
| | 274,729 | | | BB Seguridade Participacoes SA | | | 1,790,847 | |
| | 15,753 | | | BRF SA* | | | 73,332 | |
| | 15,025 | | | Caixa Seguridade Participacoes SA | | | 43,598 | |
| | 313,847 | | | CCR SA | | | 738,018 | |
| | 32,875 | | | Centrais Eletricas Brasileiras SA | | | 243,588 | |
| | 10,392 | | | Cia de Saneamento Basico do Estado de Sao Paulo SABESP, ADR | | | 174,711 | |
| | 13,971 | | | Cia Siderurgica Nacional SA | | | 29,407 | |
| | 461,598 | | | Cosan SA | | | 1,094,469 | |
| | 7,096 | | | CPFL Energia SA | | | 42,931 | |
| | 10,694 | | | Embraer SA* | | | 88,879 | |
| | 5,554 | | | Energisa SA | | | 46,633 | |
| | 69,312 | | | Engie Brasil Energia SA | | | 555,515 | |
| | 27,161 | | | Equatorial Energia SA | | | 164,856 | |
| | 139,945 | | | Fleury SA | | | 396,142 | |
| | 133,187 | | | Hapvida Participacoes e Investimentos SA*(a) | | | 100,222 | |
| | 8,586 | | | Hypera SA | | | 43,489 | |
| | 2,875 | | | Inter & Co., Inc., Class A Shares(b) | | | 21,131 | |
| | 21,493 | | | JBS SA | | | 133,505 | |
| | 623,500 | | | JSL SA | | | 1,096,587 | |
| | 20,243 | | | Klabin SA | | | 77,563 | |
| | 22,815 | | | Localiza Rent a Car SA | | | 167,509 | |
| | 230 | | | Localiza Rent a Car SA* | | | 1,657 | |
| | 365,500 | | | Movida Participacoes SA* | | | 463,147 | |
| | 24,863 | | | Natura & Co. Holding SA | | | 59,790 | |
| | 119,054 | | | NU Holdings Ltd., Class A Shares* | | | 1,782,238 | |
| | 451,790 | | | Odontoprev SA | | | 902,834 | |
| | 5,196 | | | Pagseguro Digital Ltd., Class A Shares* | | | 57,520 | |
| | 93,183 | | | Petroleo Brasileiro SA | | | 710,120 | |
| | 88,244 | | | Petróleo Brasileiro SA, ADR | | | 1,343,956 | |
| | 93,214 | | | PRIO SA | | | 774,874 | |
| | 32,855 | | | Raia Drogasil SA | | | 160,699 | |
| | 85,510 | | | Rede D’Or Sao Luiz SA(a) | | | 484,561 | |
| | 33,328 | | | Rumo SA | | | 129,239 | |
| | 31,594 | | | Sendas Distribuidora SA* | | | 53,660 | |
| | 75,200 | | | Smartfit Escola de Ginastica e Danca SA | | | 294,279 | |
| | 21,460 | | | Suzano SA | | | 209,472 | |
| | 23,521 | | | TIM SA | | | 74,554 | |
| | 12,300 | | | TOTVS SA | | | 65,422 | |
| | 21,149 | | | Ultrapar Participações SA | | | 87,679 | |
| | 88,566 | | | Vale SA | | | 936,485 | |
| | 65,016 | | | Vale SA, Class B Shares, ADR | | | 683,968 | |
| | 399,600 | | | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | | | 538,979 | |
| | 247,235 | | | Vibra Energia SA | | | 1,128,532 | |
| | 356,842 | | | WEG SA | | | 3,429,316 | |
| | 6,400 | | | XP Inc., Class A Shares | | | 117,824 | |
| | | | | | | | |
| | | | Total Brazil | | | 25,944,579 | |
| | | | | | | | |
See Notes to Financial Statements.
97
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Chile — 0.8% | |
| | 108,752 | | | Antofagasta PLC | | $ | 2,665,460 | |
| | 1,063,451 | | | Banco de Chile | | | 134,543 | |
| | 2,057 | | | Banco de Credito e Inversiones SA | | | 63,012 | |
| | 1,469,702 | | | Banco Santander Chile | | | 75,599 | |
| | 33,447 | | | Cencosud SA | | | 67,720 | |
| | 32,401 | | | Empresas CMPC SA | | | 55,957 | |
| | 9,413 | | | Empresas COPEC SA | | | 61,680 | |
| | 473,707 | | | Enel Americas SA | | | 50,755 | |
| | 564,409 | | | Enel Chile SA | | | 30,583 | |
| | 23,830 | | | Falabella SA* | | | 84,239 | |
| | 5,222,651 | | | Latam Airlines Group SA | | | 67,504 | |
| | 11,423 | | | Sociedad Quimica y Minera de Chile SA, ADR(c) | | | 443,212 | |
| | | | | | | | |
| | | | Total Chile | | | 3,800,264 | |
| | | | | | | | |
|
| China — 20.8% | |
| | 9,300 | | | 360 Security Technology Inc., Class A Shares | | | 9,194 | |
| | 3,900 | | | 37 Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | | | 7,680 | |
| | 20,000 | | | AAC Technologies Holdings Inc. | | | 85,354 | |
| | 3,600 | | | Accelink Technologies Co., Ltd., Class A Shares | | | 14,822 | |
| | 794 | | | Advanced Micro-Fabrication Equipment Inc., Class A Shares | | | 15,143 | |
| | 3,000 | | | AECC Aviation Power Co., Ltd., Class A Shares | | | 15,033 | |
| | 111,800 | | | Agricultural Bank of China Ltd., Class A Shares | | | 71,281 | |
| | 693,000 | | | Agricultural Bank of China Ltd., Class H Shares(d) | | | 305,996 | |
| | 11,877 | | | Aier Eye Hospital Group Co., Ltd., Class A Shares | | | 16,265 | |
| | 13,600 | | | Air China Ltd., Class A Shares* | | | 13,393 | |
| | 15,000 | | | Akeso Inc.*(a) | | | 94,149 | |
| | 525,976 | | | Alibaba Group Holding Ltd. | | | 5,500,461 | |
| | 55,317 | | | Alibaba Group Holding Ltd., ADR(c) | | | 4,610,119 | |
| | 31,400 | | | Aluminum Corp. of China Ltd., Class A Shares | | | 30,193 | |
| | 102,000 | | | Aluminum Corp. of China Ltd., Class H Shares(d) | | | 63,844 | |
| | 351 | | | Amlogic Shanghai Co., Ltd., Class A Shares | | | 2,700 | |
| | 2,500 | | | Angel Yeast Co., Ltd., Class A Shares | | | 11,033 | |
| | 6,100 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 18,004 | |
| | 372,337 | | | Anhui Conch Cement Co., Ltd., Class H Shares(d) | | | 804,932 | |
| | 1,000 | | | Anhui Gujing Distillery Co., Ltd., Class A Shares | | | 24,299 | |
| | 3,700 | | | Anhui Gujing Distillery Co., Ltd., Class B Shares | | | 49,846 | |
| | 8,300 | | | Anhui Jianghuai Automobile Group Corp., Ltd., Class A Shares | | | 23,576 | |
| | 200 | | | Anhui Yingjia Distillery Co., Ltd., Class A Shares | | | 1,421 | |
| | 600 | | | Anjoy Foods Group Co., Ltd., Class A Shares | | | 6,461 | |
| | 33,800 | | | ANTA Sports Products Ltd. | | | 329,688 | |
| | 700 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | | | 6,290 | |
| | 4,098 | | | Autohome Inc., ADR | | | 103,106 | |
| | 3,600 | | | Avary Holding Shenzhen Co., Ltd., Class A Shares | | | 18,292 | |
| | 44,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(d) | | | 18,874 | |
| | 2,200 | | | AVICOPTER PLC, Class A Shares | | | 12,017 | |
| | 16,800 | | | BAIC BluePark New Energy Technology Co., Ltd., Class A Shares* | | | 15,916 | |
| | 2,800 | | | Baidu Inc., ADR* | | | 236,936 | |
| | 56,468 | | | Baidu Inc., Class A Shares* | | | 597,670 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | | 14,235 | |
| | 16,600 | | | Bank of Changsha Co., Ltd., Class A Shares | | | 16,895 | |
| | 4,000 | | | Bank of Chengdu Co., Ltd., Class A Shares | | | 7,865 | |
| | 54,930 | | | Bank of China Ltd., Class A Shares | | | 37,125 | |
| | 1,989,000 | | | Bank of China Ltd., Class H Shares(d) | | | 904,390 | |
| | 54,100 | | | Bank of Communications Co., Ltd., Class A Shares | | | 54,271 | |
| | 219,000 | | | Bank of Communications Co., Ltd., Class H Shares(d) | | | 158,601 | |
| | 14,800 | | | Bank of Hangzhou Co., Ltd., Class A Shares | | | 26,612 | |
| | 35,590 | | | Bank of Jiangsu Co., Ltd., Class A Shares | | | 39,021 | |
See Notes to Financial Statements.
98
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 16,600 | | | Bank of Nanjing Co., Ltd., Class A Shares | | $ | 23,229 | |
| | 8,290 | | | Bank of Ningbo Co., Ltd., Class A Shares | | | 23,691 | |
| | 29,640 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 29,592 | |
| | 30,184 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 25,360 | |
| | 687 | | | Beijing Kingsoft Office Software Inc., Class A Shares | | | 17,677 | |
| | 2,000 | | | Beijing New Building Materials PLC, Class A Shares | | | 7,294 | |
| | 543 | | | Beijing Roborock Technology Co., Ltd., Class A Shares | | | 17,368 | |
| | 5,880 | | | Beijing Tiantan Biological Products Corp., Ltd., Class A Shares | | | 19,728 | |
| | 2,600 | | | Beijing Tongrentang Co., Ltd., Class A Shares | | | 12,904 | |
| | 1,218 | | | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A Shares | | | 12,206 | |
| | 79,200 | | | Beijing-Shanghai High Speed Railway Co., Ltd., Class A Shares | | | 60,634 | |
| | 6,207 | | | Bilibili Inc., Class Z Shares* | | | 89,634 | |
| | 68,500 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 37,228 | |
| | 1,800 | | | BYD Co., Ltd., Class A Shares | | | 63,195 | |
| | 43,000 | | | BYD Co., Ltd., Class H Shares(d) | | | 1,318,954 | |
| | 22,500 | | | BYD Electronic International Co., Ltd. | | | 83,104 | |
| | 639 | | | Cambricon Technologies Corp., Ltd., Class A Shares* | | | 23,203 | |
| | 32,800 | | | CGN Power Co., Ltd., Class A Shares | | | 22,132 | |
| | 254,000 | | | CGN Power Co., Ltd., Class H Shares(a)(d) | | | 103,635 | |
| | 600 | | | Changchun High-Tech Industry Group Co., Ltd., Class A Shares | | | 6,970 | |
| | 1,100 | | | Changjiang Securities Co., Ltd., Class A Shares | | | 769 | |
| | 3,900 | | | Chaozhou Three-Circle Group Co., Ltd., Class A Shares | | | 17,289 | |
| | 237,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(d) | | | 136,825 | |
| | 43,000 | | | China Coal Energy Co., Ltd., Class H Shares(d) | | | 51,442 | |
| | 54,000 | | | China Communications Services Corp., Ltd., Class H Shares(d) | | | 27,581 | |
| | 21,100 | | | China Construction Bank Corp., Class A Shares | | | 22,417 | |
| | 5,550,224 | | | China Construction Bank Corp., Class H Shares(d) | | | 3,917,603 | |
| | 9,900 | | | China CSSC Holdings Ltd., Class A Shares | | | 53,635 | |
| | 27,298 | | | China Eastern Airlines Corp., Ltd., Class A Shares* | | | 14,593 | |
| | 47,400 | | | China Energy Engineering Corp., Ltd., Class A Shares | | | 14,250 | |
| | 91,612 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 39,559 | |
| | 52,000 | | | China Everbright Bank Co., Ltd., Class H Shares(d) | | | 15,613 | |
| | 92,000 | | | China Feihe Ltd.(a) | | | 49,444 | |
| | 12,000 | | | China Galaxy Securities Co., Ltd., Class A Shares | | | 18,856 | |
| | 98,500 | | | China Galaxy Securities Co., Ltd., Class H Shares(d) | | | 52,189 | |
| | 10,800 | | | China Greatwall Technology Group Co., Ltd., Class A Shares* | | | 12,243 | |
| | 53,000 | | | China Hongqiao Group Ltd. | | | 73,030 | |
| | 12,400 | | | China International Capital Corp., Ltd., Class A Shares | | | 50,053 | |
| | 34,000 | | | China International Capital Corp., Ltd., Class H Shares(a)(d) | | | 36,515 | |
| | 7,200 | | | China Jushi Co., Ltd., Class A Shares | | | 10,172 | |
| | 700 | | | China Life Insurance Co., Ltd., Class A Shares | | | 3,299 | |
| | 186,000 | | | China Life Insurance Co., Ltd., Class H Shares(d) | | | 280,346 | |
| | 8,800 | | | China Literature Ltd.*(a) | | | 27,731 | |
| | 80,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(d) | | | 62,622 | |
| | 79,000 | | | China Mengniu Dairy Co., Ltd. | | | 133,474 | |
| | 20,600 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 93,284 | |
| | 938,891 | | | China Merchants Bank Co., Ltd., Class H Shares(d) | | | 3,879,530 | |
| | 17,000 | | | China Merchants Energy Shipping Co., Ltd., Class A Shares | | | 18,022 | |
| | 9,230 | | | China Merchants Securities Co., Ltd., Class A Shares | | | 19,053 | |
| | 6,520 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 8,492 | |
| | 55,920 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 27,073 | |
| | 167,700 | | | China Minsheng Banking Corp., Ltd., Class H Shares(d) | | | 60,467 | |
| | 78,000 | | | China National Building Material Co., Ltd., Class H Shares(d) | | | 22,513 | |
| | 34,000 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 52,506 | |
| | 2,470 | | | China National Software & Service Co., Ltd., Class A Shares* | | | 10,750 | |
| | 5,200 | | | China Northern Rare Earth Group High-Tech Co., Ltd., Class A Shares | | | 12,345 | |
See Notes to Financial Statements.
99
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 44,000 | | | China Oilfield Services Ltd., Class H Shares(d) | | $ | 41,308 | |
| | 12,500 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 52,150 | |
| | 69,400 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(d) | | | 180,012 | |
| | 43,800 | | | China Petroleum & Chemical Corp., Class A Shares | | | 42,092 | |
| | 610,000 | | | China Petroleum & Chemical Corp., Class H Shares(d) | | | 413,991 | |
| | 27,800 | | | China Railway Group Ltd., Class A Shares | | | 22,598 | |
| | 93,000 | | | China Railway Group Ltd., Class H Shares(d) | | | 43,201 | |
| | 22,980 | | | China Railway Signal & Communication Corp., Ltd., Class A Shares | | | 16,867 | |
| | 4,498 | | | China Resources Microelectronics Ltd., Class A Shares | | | 22,047 | |
| | 14,000 | | | China Resources Mixc Lifestyle Services Ltd.(a) | | | 46,571 | |
| | 44,500 | | | China Resources Pharmaceutical Group Ltd.(a) | | | 31,396 | |
| | 520 | | | China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A Shares | | | 3,297 | |
| | 13,299 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 76,088 | |
| | 84,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(d) | | | 364,413 | |
| | 20,400 | | | China Southern Airlines Co., Ltd., Class A Shares* | | | 16,397 | |
| | 57,440 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 43,614 | |
| | 41,600 | | | China Three Gorges Renewables Group Co., Ltd., Class A Shares | | | 26,828 | |
| | 2,535 | | | China Tourism Group Duty Free Corp., Ltd., Class A Shares | | | 21,874 | |
| | 1,048,000 | | | China Tower Corp., Ltd., Class H Shares(a)(d) | | | 128,861 | |
| | 40,000 | | | China United Network Communications Ltd., Class A Shares | | | 26,199 | |
| | 15,600 | | | China Vanke Co., Ltd., Class A Shares* | | | 14,841 | |
| | 43,500 | | | China Vanke Co., Ltd., Class H Shares*(d) | | | 22,941 | |
| | 34,900 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 144,747 | |
| | 52,390 | | | China Zheshang Bank Co., Ltd., Class A Shares | | | 19,386 | |
| | 1,800 | | | Chongqing Brewery Co., Ltd., Class A Shares | | | 14,102 | |
| | 16,182 | | | Chongqing Changan Automobile Co., Ltd., Class A Shares | | | 27,628 | |
| | 28,000 | | | Chongqing Rural Commercial Bank Co., Ltd., Class A Shares | | | 19,718 | |
| | 3,000 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | | | 9,741 | |
| | 152,000 | | | CITIC Ltd. | | | 152,160 | |
| | 17,365 | | | CITIC Securities Co., Ltd., Class A Shares | | | 47,281 | |
| | 47,925 | | | CITIC Securities Co., Ltd., Class H Shares(d) | | | 72,542 | |
| | 26,600 | | | CMOC Group Ltd., Class A Shares | | | 28,245 | |
| | 96,000 | | | CMOC Group Ltd., Class H Shares(d) | | | 78,587 | |
| | 1,820 | | | CNGR Advanced Material Co., Ltd., Class A Shares | | | 7,429 | |
| | 16,100 | | | CNPC Capital Co., Ltd., Class A Shares | | | 11,840 | |
| | 75,280 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 1,953,867 | |
| | 45,800 | | | COSCO SHIPPING Development Co., Ltd., Class A Shares | | | 15,269 | |
| | 5,300 | | | COSCO Shipping Energy Transportation Co., Ltd., Class A Shares | | | 10,902 | |
| | 32,000 | | | COSCO Shipping Energy Transportation Co., Ltd., Class H Shares(d) | | | 35,198 | |
| | 9,420 | | | COSCO SHIPPING Holdings Co., Ltd., Class A Shares | | | 16,601 | |
| | 80,750 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares(d) | | | 110,563 | |
| | 51,400 | | | CRRC Corp., Ltd., Class A Shares | | | 51,880 | |
| | 109,000 | | | CRRC Corp., Ltd., Class H Shares(d) | | | 66,043 | |
| | 8,700 | | | CSC Financial Co., Ltd., Class A Shares | | | 23,599 | |
| | 2,880 | | | CSPC Innovation Pharmaceutical Co., Ltd., Class A Shares | | | 9,855 | |
| | 229,120 | | | CSPC Pharmaceutical Group Ltd. | | | 141,813 | |
| | 21,700 | | | Daqin Railway Co., Ltd., Class A Shares | | | 18,706 | |
| | 240,200 | | | DaShenLin Pharmaceutical Group Co., Ltd., Class A Shares | | | 457,835 | |
| | 2,100 | | | Dong-E-E-Jiao Co., Ltd., Class A Shares | | | 14,757 | |
| | 600 | | | Dongfang Electric Corp., Ltd., Class A Shares | | | 1,157 | |
| | 19,025 | | | East Money Information Co., Ltd., Class A Shares | | | 29,009 | |
| | 600 | | | Eastroc Beverage Group Co., Ltd., Class A Shares | | | 19,268 | |
| | 900 | | | Ecovacs Robotics Co., Ltd., Class A Shares | | | 5,106 | |
| | 21,000 | | | ENN Energy Holdings Ltd. | | | 136,445 | |
| | 300,043 | | | ENN Natural Gas Co., Ltd., Class A Shares | | | 747,552 | |
| | 2,000 | | | Eoptolink Technology Inc. Ltd., Class A Shares | | | 26,601 | |
See Notes to Financial Statements.
100
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 2,581 | | | Eve Energy Co., Ltd., Class A Shares | | $ | 12,206 | |
| | 7,300 | | | Everbright Securities Co., Ltd., Class A Shares | | | 15,136 | |
| | 4,000 | | | Flat Glass Group Co., Ltd., Class A Shares | | | 9,522 | |
| | 20,800 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 16,825 | |
| | 5,686 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 29,697 | |
| | 53,500 | | | Fosun International Ltd. | | | 27,790 | |
| | 17,700 | | | Founder Securities Co., Ltd., Class A Shares | | | 17,366 | |
| | 20,000 | | | Foxconn Industrial Internet Co., Ltd., Class A Shares | | | 58,082 | |
| | 130,800 | | | Full Truck Alliance Co., Ltd., ADR | | | 948,300 | |
| | 4,100 | | | Fuyao Glass Industry Group Co., Ltd., Class A Shares | | | 27,700 | |
| | 13,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(d) | | | 77,705 | |
| | 3,220 | | | Ganfeng Lithium Group Co., Ltd., Class A Shares | | | 12,401 | |
| | 21,800 | | | GD Power Development Co., Ltd., Class A Shares | | | 16,453 | |
| | 15,100 | | | GEM Co., Ltd., Class A Shares | | | 12,723 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 39,425 | |
| | 9,000 | | | GF Securities Co., Ltd., Class A Shares | | | 15,039 | |
| | 6,800 | | | Giant Biogene Holding Co., Ltd.(a) | | | 36,060 | |
| | 924 | | | Gigadevice Semiconductor Inc., Class A Shares* | | | 9,467 | |
| | 4,300 | | | GoerTek Inc., Class A Shares | | | 12,907 | |
| | 2,700 | | | Goldwind Science & Technology Co., Ltd., Class A Shares | | | 3,149 | |
| | 1,595 | | | Goneo Group Co., Ltd., Class A Shares | | | 15,251 | |
| | 2,000 | | | Gotion High-tech Co., Ltd., Class A Shares | | | 5,256 | |
| | 4,100 | | | Great Wall Motor Co., Ltd., Class A Shares | | | 13,403 | |
| | 55,500 | | | Great Wall Motor Co., Ltd., Class H Shares(d) | | | 79,931 | |
| | 194,400 | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | | | 1,087,508 | |
| | 2,200 | | | Guangdong Haid Group Co., Ltd., Class A Shares | | | 12,013 | |
| | 7,700 | | | Guanghui Energy Co., Ltd., Class A Shares | | | 6,478 | |
| | 15,100 | | | Guangzhou Automobile Group Co., Ltd., Class A Shares | | | 15,784 | |
| | 88,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(d) | | | 28,143 | |
| | 2,600 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | | | 10,559 | |
| | 7,900 | | | Guangzhou Haige Communications Group Inc. Co., Class A Shares | | | 10,094 | |
| | 3,220 | | | Guangzhou Tinci Materials Technology Co., Ltd., Class A Shares | | | 6,501 | |
| | 12,500 | | | Guolian Securities Co., Ltd., Class A Shares | | | 17,053 | |
| | 9,400 | | | Guosen Securities Co., Ltd., Class A Shares(b)(h) | | | 11,988 | |
| | 16,600 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | | 34,578 | |
| | 5,900 | | | Guoyuan Securities Co., Ltd., Class A Shares | | | 5,287 | |
| | 14,644 | | | H World Group Ltd., ADR | | | 445,763 | |
| | 44,000 | | | Haidilao International Holding Ltd.(a) | | | 73,623 | |
| | 7,300 | | | Haier Smart Home Co., Ltd., Class A Shares | | | 25,412 | |
| | 60,800 | | | Haier Smart Home Co., Ltd., Class H Shares(d) | | | 187,040 | |
| | 70,600 | | | Hainan Airlines Holding Co., Ltd., Class A Shares* | | | 10,559 | |
| | 29,200 | | | Hainan Airport Infrastructure Co., Ltd., Class A Shares* | | | 13,022 | |
| | 16,000 | | | Haitian International Holdings Ltd. | | | 44,623 | |
| | 9,300 | | | Haitong Securities Co., Ltd., Class A Shares | | | 11,319 | |
| | 67,200 | | | Haitong Securities Co., Ltd., Class H Shares(d) | | | 29,920 | |
| | 4,939 | | | Hangzhou First Applied Material Co., Ltd., Class A Shares | | | 10,732 | |
| | 2,700 | | | Hangzhou Silan Microelectronics Co., Ltd., Class A Shares* | | | 7,231 | |
| | 400 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares | | | 2,873 | |
| | 28,000 | | | Hansoh Pharmaceutical Group Co., Ltd.(a) | | | 71,657 | |
| | 1,600 | | | Henan Shenhuo Coal Industry & Electricity Power Co., Ltd., Class A Shares | | | 3,406 | |
| | 5,300 | | | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | | | 17,367 | |
| | 283,000 | | | Hengan International Group Co., Ltd. | | | 910,291 | |
| | 10,778 | | | Hengli Petrochemical Co., Ltd., Class A Shares | | | 20,426 | |
| | 8,200 | | | Hengtong Optic-electric Co., Ltd., Class A Shares | | | 16,374 | |
| | 2,990 | | | Hengyi Petrochemical Co., Ltd., Class A Shares | | | 2,566 | |
| | 4,000 | | | Hisense Home Appliances Group Co., Ltd., Class A Shares | | | 13,729 | |
See Notes to Financial Statements.
101
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 5,000 | | | Hisense Home Appliances Group Co., Ltd., Class H Shares(d) | | $ | 12,956 | |
| | 699 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | | | 10,158 | |
| | 14,100 | | | HLA Group Corp., Ltd., Class A Shares | | | 11,854 | |
| | 900 | | | Hoshine Silicon Industry Co., Ltd., Class A Shares | | | 6,328 | |
| | 12,000 | | | Hua Hong Semiconductor Ltd.(a) | | | 26,281 | |
| | 18,400 | | | Huadian Power International Corp., Ltd., Class A Shares(h) | | | 14,414 | |
| | 1,694 | | | Huadong Medicine Co., Ltd., Class A Shares | | | 7,052 | |
| | 15,100 | | | Huafon Chemical Co., Ltd., Class A Shares | | | 15,797 | |
| | 3,500 | | | Huagong Tech Co., Ltd., Class A Shares | | | 14,778 | |
| | 7,500 | | | Huaibei Mining Holdings Co., Ltd., Class A Shares | | | 15,309 | |
| | 2,260 | | | Hualan Biological Engineering Inc., Class A Shares | | | 4,808 | |
| | 22,500 | | | Huaneng Power International Inc., Class A Shares | | | 22,042 | |
| | 114,000 | | | Huaneng Power International Inc., Class H Shares(d) | | | 65,956 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 12,785 | |
| | 35,800 | | | Huatai Securities Co., Ltd., Class H Shares(a)(d) | | | 39,479 | |
| | 30,500 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 25,890 | |
| | 282,699 | | | Huayu Automotive Systems Co., Ltd., Class A Shares | | | 588,698 | |
| | 1,000 | | | Huizhou Desay Sv Automotive Co., Ltd., Class A Shares | | | 12,895 | |
| | 3,200 | | | Humanwell Healthcare Group Co., Ltd., Class A Shares | | | 9,057 | |
| | 3,785 | | | Hundsun Technologies Inc., Class A Shares | | | 8,727 | |
| | 3,242 | | | Hygon Information Technology Co., Ltd., Class A Shares | | | 36,359 | |
| | 4,600 | | | IEIT Systems Co., Ltd., Class A Shares | | | 21,050 | |
| | 3,900 | | | Iflytek Co., Ltd., Class A Shares | | | 18,957 | |
| | 560 | | | Imeik Technology Development Co., Ltd., Class A Shares | | | 11,460 | |
| | 111,300 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 93,914 | |
| | 1,699,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(d) | | | 975,989 | |
| | 31,400 | | | Industrial Bank Co., Ltd., Class A Shares | | | 73,081 | |
| | 19,760 | | | Industrial Securities Co., Ltd., Class A Shares | | | 14,418 | |
| | 800 | | | Ingenic Semiconductor Co., Ltd., Class A Shares | | | 5,276 | |
| | 62,900 | | | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares* | | | 12,795 | |
| | 7,700 | | | Inner Mongolia Dian Tou Energy Corp., Ltd., Class A Shares | | | 18,796 | |
| | 16,300 | | | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | | | 8,854 | |
| | 13,600 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 43,437 | |
| | 38,800 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 73,735 | |
| | 30,500 | | | Innovent Biologics Inc.*(a) | | | 166,390 | |
| | 12,965 | | | iQIYI Inc., ADR* | | | 27,875 | |
| | 2,200 | | | Isoftstone Information Technology Group Co., Ltd., Class A Shares | | | 10,574 | |
| | 4,116 | | | JA Solar Technology Co., Ltd., Class A Shares | | | 5,747 | |
| | 4,000 | | | JCET Group Co., Ltd., Class A Shares | | | 18,458 | |
| | 26,000 | | | JD Health International Inc.*(a) | | | 77,920 | |
| | 45,200 | | | JD Logistics Inc.*(a) | | | 55,075 | |
| | 78,343 | | | JD.com Inc., ADR | | | 2,115,261 | |
| | 69,406 | | | JD.com Inc., Class A Shares | | | 936,858 | |
| | 7,400 | | | Jiangsu Eastern Shenghong Co., Ltd., Class A Shares | | | 8,137 | |
| | 24,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(d) | | | 23,628 | |
| | 1,948 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | | | 14,023 | |
| | 10,301 | | | Jiangsu Hengrui Pharmaceuticals Co., Ltd., Class A Shares | | | 64,122 | |
| | 3,000 | | | Jiangsu King’s Luck Brewery JSC Ltd., Class A Shares | | | 16,580 | |
| | 1,800 | | | Jiangsu Yanghe Distillery Co., Ltd., Class A Shares | | | 20,813 | |
| | 1,430 | | | Jiangsu Yangnong Chemical Co., Ltd., Class A Shares | | | 10,219 | |
| | 3,200 | | | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd., Class A Shares | | | 14,940 | |
| | 6,200 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | | | 11,344 | |
| | 5,300 | | | Jiangxi Copper Co., Ltd., Class A Shares | | | 15,269 | |
| | 29,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(d) | | | 49,080 | |
| | 9,597 | | | Jinko Solar Co., Ltd., Class A Shares | | | 9,745 | |
| | 2,747 | | | Jointown Pharmaceutical Group Co., Ltd., Class A Shares | | | 1,807 | |
See Notes to Financial Statements.
102
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 1,268 | | | Kangmei Pharmaceutical Co., Ltd., Class A Shares*(b)# | | $ | 2 | |
| | 10,310 | | | Kanzhun Ltd., ADR | | | 128,463 | |
| | 83,555 | | | KE Holdings Inc., ADR | | | 1,239,956 | |
| | 66,000 | | | Kingdee International Software Group Co., Ltd.* | | | 51,907 | |
| | 22,400 | | | Kingsoft Corp., Ltd. | | | 61,772 | |
| | 61,800 | | | Kuaishou Technology, Class B Shares*(a) | | | 317,533 | |
| | 2,800 | | | Kunlun Tech Co., Ltd., Class A Shares | | | 10,744 | |
| | 1,688 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 343,259 | |
| | 6,600 | | | LB Group Co., Ltd., Class A Shares | | | 15,185 | |
| | 1,572,000 | | | Lenovo Group Ltd. | | | 1,926,907 | |
| | 9,000 | | | Lens Technology Co., Ltd., Class A Shares | | | 22,384 | |
| | 4,500 | | | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | | | 6,372 | |
| | 30,006 | | | Li Auto Inc., Class A Shares* | | | 293,705 | |
| | 56,000 | | | Li Ning Co., Ltd. | | | 104,553 | |
| | 70,500 | | | Liaoning Port Co., Ltd., Class A Shares | | | 12,335 | |
| | 14,500 | | | Lingyi iTech Guangdong Co., Class A Shares | | | 17,236 | |
| | 3,100 | | | Livzon Pharmaceutical Group Inc., Class A Shares | | | 15,738 | |
| | 39,500 | | | Longfor Group Holdings Ltd.(a) | | | 44,298 | |
| | 9,072 | | | LONGi Green Energy Technology Co., Ltd., Class A Shares | | | 17,690 | |
| | 11,038 | | | Luxshare Precision Industry Co., Ltd., Class A Shares | | | 61,630 | |
| | 2,000 | | | Luzhou Laojiao Co., Ltd., Class A Shares | | | 33,709 | |
| | 3,400 | | | Mango Excellent Media Co., Ltd., Class A Shares | | | 9,292 | |
| | 864 | | | Maxscend Microelectronics Co., Ltd., Class A Shares | | | 8,098 | |
| | 11,300 | | | Meihua Holdings Group Co., Ltd., Class A Shares | | | 15,294 | |
| | 352,883 | | | Meituan, Class B Shares*(a) | | | 5,314,513 | |
| | 36,900 | | | Metallurgical Corp. of China Ltd., Class A Shares | | | 15,366 | |
| | 105,800 | | | Midea Group Co., Ltd., Class A Shares | | | 966,763 | |
| | 8,716 | | | MINISO Group Holding Ltd. | | | 36,351 | |
| | 47,100 | | | MINISO Group Holding Ltd., ADR(c) | | | 773,853 | |
| | 984,000 | | | Minth Group Ltd.* | | | 1,572,310 | |
| | 1,749 | | | Montage Technology Co., Ltd., Class A Shares | | | 13,006 | |
| | 10,086 | | | Muyuan Foods Co., Ltd., Class A Shares* | | | 54,896 | |
| | 10,195 | | | NARI Technology Co., Ltd., Class A Shares | | | 35,410 | |
| | 5,493 | | | National Silicon Industry Group Co., Ltd., Class A Shares | | | 11,408 | |
| | 1,200 | | | NAURA Technology Group Co., Ltd., Class A Shares | | | 53,935 | |
| | 90,125 | | | NetEase Inc. | | | 1,454,133 | |
| | 16,587 | | | NetEase Inc., ADR | | | 1,334,258 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 11,161 | |
| | 21,000 | | | New China Life Insurance Co., Ltd., Class H Shares(d) | | | 45,627 | |
| | 6,400 | | | New Hope Liuhe Co., Ltd., Class A Shares* | | | 8,139 | |
| | 37,010 | | | New Oriental Education & Technology Group Inc.* | | | 226,905 | |
| | 3,400 | | | Ninestar Corp., Class A Shares* | | | 11,982 | |
| | 2,492 | | | Ningbo Deye Technology Co., Ltd., Class A Shares | | | 31,893 | |
| | 2,100 | | | Ningbo Orient Wires & Cables Co., Ltd., Class A Shares | | | 14,281 | |
| | 4,500 | | | Ningbo Sanxing Medical Electric Co., Ltd., Class A Shares | | | 20,888 | |
| | 1,160 | | | Ningbo Tuopu Group Co., Ltd., Class A Shares | | | 5,529 | |
| | 10,200 | | | Ningxia Baofeng Energy Group Co., Ltd., Class A Shares | | | 21,926 | |
| | 36,543 | | | NIO Inc., ADR*(c) | | | 147,634 | |
| | 50,400 | | | Nongfu Spring Co., Ltd., Class H Shares(a)(d) | | | 183,000 | |
| | 1,000 | | | Oppein Home Group Inc., Class A Shares | | | 6,259 | |
| | 14,464 | | | Orient Securities Co., Ltd., Class A Shares | | | 17,189 | |
| | 24,800 | | | People’s Insurance Co. Group of China Ltd. (The), Class A Shares | | | 20,962 | |
| | 243,000 | | | People’s Insurance Co. Group of China Ltd. (The), Class H Shares(d) | | | 92,027 | |
| | 21,700 | | | PetroChina Co., Ltd., Class A Shares | | | 27,426 | |
| | 528,000 | | | PetroChina Co., Ltd., Class H Shares(d) | | | 480,412 | |
| | 2,025 | | | Pharmaron Beijing Co., Ltd., Class A Shares | | | 5,710 | |
See Notes to Financial Statements.
103
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 172,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(d) | | $ | 222,983 | |
| | 586,880 | | | Ping An Bank Co., Ltd., Class A Shares | | | 840,192 | |
| | 11,800 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 73,130 | |
| | 832,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(d) | | | 3,963,173 | |
| | 18,000 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 20,556 | |
| | 13,600 | | | Pop Mart International Group Ltd.(a) | | | 80,047 | |
| | 45,300 | | | Postal Savings Bank of China Co., Ltd., Class A Shares | | | 30,212 | |
| | 183,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(d) | | | 98,117 | |
| | 22,300 | | | Power Construction Corp. of China Ltd., Class A Shares | | | 15,108 | |
| | 101,200 | | | Proya Cosmetics Co., Ltd., Class A Shares | | | 1,364,442 | |
| | 4,881 | | | Qifu Technology Inc., ADR | | | 129,298 | |
| | 8,300 | | | Qinghai Salt Lake Industry Co., Ltd., Class A Shares* | | | 17,167 | |
| | 4,000 | | | Range Intelligent Computing Technology Group Co., Ltd., Class A Shares | | | 13,495 | |
| | 11,850 | | | Rongsheng Petrochemical Co., Ltd., Class A Shares | | | 14,735 | |
| | 11,800 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 20,897 | |
| | 9,500 | | | Sailun Group Co., Ltd., Class A Shares | | | 17,277 | |
| | 6,100 | | | Sanan Optoelectronics Co., Ltd., Class A Shares | | | 9,000 | |
| | 9,400 | | | Sany Heavy Industry Co., Ltd., Class A Shares | | | 21,385 | |
| | 7,247 | | | Satellite Chemical Co., Ltd., Class A Shares | | | 16,753 | |
| | 20,600 | | | SDIC Capital Co., Ltd., Class A Shares | | | 16,895 | |
| | 14,700 | | | SDIC Power Holdings Co., Ltd., Class A Shares | | | 31,938 | |
| | 2,700 | | | Seres Group Co., Ltd., Class A Shares* | | | 29,191 | |
| | 7,700 | | | SF Holding Co., Ltd., Class A Shares | | | 39,440 | |
| | 975 | | | SG Micro Corp., Class A Shares | | | 10,032 | |
| | 16,700 | | | Shaanxi Coal Industry Co., Ltd., Class A Shares | | | 58,126 | |
| | 10,950 | | | Shan Xi Hua Yang Group New Energy Co., Ltd., Class A Shares | | | 11,145 | |
| | 5,600 | | | Shandong Gold Mining Co., Ltd., Class A Shares | | | 21,300 | |
| | 15,500 | | | Shandong Gold Mining Co., Ltd., Class H Shares(a)(d) | | | 29,854 | |
| | 2,250 | | | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A Shares | | | 7,240 | |
| | 14,900 | | | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | | | 7,729 | |
| | 6,800 | | | Shandong Sun Paper Industry JSC Ltd., Class A Shares | | | 12,094 | |
| | 62,400 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(d) | | | 35,373 | |
| | 85,365 | | | Shanghai Baosight Software Co., Ltd., Class A Shares | | | 352,908 | |
| | 28,397 | | | Shanghai Baosight Software Co., Ltd., Class B Shares | | | 42,674 | |
| | 637 | | | Shanghai BOCHU Electronic Technology Corp., Ltd., Class A Shares | | | 14,548 | |
| | 39,300 | | | Shanghai Electric Group Co., Ltd., Class A Shares* | | | 20,152 | |
| | 4,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | | | 12,721 | |
| | 2,000 | | | Shanghai International Airport Co., Ltd., Class A Shares | | | 9,361 | |
| | 17,999 | | | Shanghai International Port Group Co., Ltd., Class A Shares | | | 15,029 | |
| | 800 | | | Shanghai Jinjiang International Hotels Co., Ltd., Class A Shares | | | 2,725 | |
| | 2,200 | | | Shanghai M&G Stationery Inc., Class A Shares | | | 8,318 | |
| | 2,700 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | | | 7,082 | |
| | 16,800 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(d) | | | 23,251 | |
| | 40,200 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 47,741 | |
| | 5,102 | | | Shanghai Putailai New Energy Technology Co., Ltd., Class A Shares | | | 8,297 | |
| | 15,800 | | | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | | | 15,986 | |
| | 19,600 | | | Shanghai Rural Commercial Bank Co., Ltd., Class A Shares | | | 18,248 | |
| | 1,498 | | | Shanghai United Imaging Healthcare Co., Ltd., Class A Shares | | | 22,340 | |
| | 7,100 | | | Shanjin International Gold Co., Ltd., Class A Shares | | | 16,138 | |
| | 6,100 | | | Shanxi Coking Coal Energy Group Co., Ltd., Class A Shares | | | 6,870 | |
| | 7,400 | | | Shanxi Lu’an Environmental Energy Development Co., Ltd., Class A Shares | | | 14,937 | |
| | 2,140 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | | | 53,293 | |
| | 18,000 | | | Shenergy Co., Ltd., Class A Shares | | | 19,921 | |
| | 4,400 | | | Shengyi Technology Co., Ltd., Class A Shares | | | 10,989 | |
| | 1,260 | | | Shennan Circuits Co., Ltd., Class A Shares | | | 17,969 | |
| | 48,700 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 31,064 | |
See Notes to Financial Statements.
104
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 1,680 | | | Shenzhen Energy Group Co., Ltd., Class A Shares | | $ | 1,402 | |
| | 267,300 | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares | | | 1,632,042 | |
| | 19,100 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | | | 675,876 | |
| | 1,900 | | | Shenzhen New Industries Biomedical Engineering Co., Ltd., Class A Shares | | | 17,941 | |
| | 1,359 | | | Shenzhen Transsion Holdings Co., Ltd., Class A Shares | | | 15,372 | |
| | 69,100 | | | Shenzhou International Group Holdings Ltd. | | | 568,225 | |
| | 4,649 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | | | 10,132 | |
| | 12,000 | | | Sichuan Chuantou Energy Co., Ltd., Class A Shares | | | 29,124 | |
| | 4,400 | | | Sichuan Kelun Pharmaceutical Co., Ltd., Class A Shares | | | 19,047 | |
| | 17,860 | | | Sichuan Road & Bridge Group Co., Ltd., Class A Shares | | | 14,243 | |
| | 2,300 | | | Sieyuan Electric Co., Ltd., Class A Shares | | | 21,201 | |
| | 9,000 | | | Silergy Corp. | | | 133,856 | |
| | 505,372 | | | Sinopharm Group Co., Ltd., Class H Shares(d) | | | 1,178,254 | |
| | 16,500 | | | Sinotruk Hong Kong Ltd. | | | 41,266 | |
| | 37,000 | | | Smoore International Holdings Ltd.(a) | | | 43,003 | |
| | 2,000 | | | Spring Airlines Co., Ltd., Class A Shares | | | 14,237 | |
| | 73,570 | | | Sungrow Power Supply Co., Ltd., Class A Shares | | | 798,030 | |
| | 16,200 | | | Sunny Optical Technology Group Co., Ltd. | | | 99,990 | |
| | 2,800 | | | Sunwoda Electronic Co., Ltd., Class A Shares | | | 6,641 | |
| | 1,653 | | | SUPCON Technology Co., Ltd., Class A Shares | | | 9,211 | |
| | 512 | | | Suzhou Maxwell Technologies Co., Ltd., Class A Shares | | | 5,908 | |
| | 1,400 | | | Suzhou TFC Optical Communication Co., Ltd., Class A Shares | | | 15,312 | |
| | 12,280 | | | TAL Education Group, ADR* | | | 98,731 | |
| | 8,060 | | | TBEA Co., Ltd., Class A Shares | | | 14,355 | |
| | 20,020 | | | TCL Technology Group Corp., Class A Shares | | | 11,049 | |
| | 4,875 | | | TCL Zhonghuan Renewable Energy Technology Co., Ltd., Class A Shares | | | 5,667 | |
| | 420,531 | | | Tencent Holdings Ltd. | | | 20,324,986 | |
| | 20,169 | | | Tencent Music Entertainment Group, ADR | | | 210,564 | |
| | 2,300 | | | Tianqi Lithium Corp., Class A Shares | | | 8,541 | |
| | 1,022,000 | | | Tingyi Cayman Islands Holding Corp. | | | 1,371,673 | |
| | 31,600 | | | Tongcheng Travel Holdings Ltd. | | | 58,858 | |
| | 4,800 | | | TongFu Microelectronics Co., Ltd., Class A Shares | | | 13,500 | |
| | 5,900 | | | Tongkun Group Co., Ltd., Class A Shares | | | 9,871 | |
| | 31,900 | | | Tongling Nonferrous Metals Group Co., Ltd., Class A Shares | | | 14,043 | |
| | 10,300 | | | Tongwei Co., Ltd., Class A Shares | | | 27,638 | |
| | 39,000 | | | Topsports International Holdings Ltd.(a) | | | 14,583 | |
| | 25,000 | | | TravelSky Technology Ltd., Class H Shares(d) | | | 31,233 | |
| | 4,401 | | | Trina Solar Co., Ltd., Class A Shares | | | 10,715 | |
| | 14,164 | | | Trip.com Group Ltd.* | | | 670,298 | |
| | 40,583 | | | Trip.com Group Ltd., ADR* | | | 1,913,083 | |
| | 300 | | | Tsingtao Brewery Co., Ltd., Class A Shares | | | 2,517 | |
| | 18,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(d) | | | 104,462 | |
| | 979 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares | | | 6,582 | |
| | 8,160 | | | Unisplendour Corp., Ltd., Class A Shares | | | 22,762 | |
| | 12,558 | | | Vipshop Holdings Ltd., ADR | | | 157,477 | |
| | 8,300 | | | Wanda Film Holding Co., Ltd., Class A Shares* | | | 11,509 | |
| | 4,700 | | | Wanhua Chemical Group Co., Ltd., Class A Shares | | | 48,284 | |
| | 12,400 | | | Weichai Power Co., Ltd., Class A Shares | | | 22,744 | |
| | 651,200 | | | Weichai Power Co., Ltd., Class H Shares(d) | | | 999,029 | |
| | 3,040 | | | Weihai Guangwei Composites Co., Ltd., Class A Shares | | | 11,975 | |
| | 7,640 | | | Wens Foodstuff Group Co., Ltd., Class A Shares | | | 18,378 | |
| | 8,300 | | | Western Mining Co., Ltd., Class A Shares | | | 18,412 | |
| | 11,400 | | | Western Securities Co., Ltd., Class A Shares | | | 10,445 | |
| | 2,442 | | | Western Superconducting Technologies Co., Ltd., Class A Shares | | | 12,405 | |
| | 1,620 | | | Will Semiconductor Co., Ltd. Shanghai, Class A Shares | | | 20,763 | |
| | 1,600 | | | Wingtech Technology Co., Ltd., Class A Shares | | | 5,912 | |
See Notes to Financial Statements.
105
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.8% — (continued) | |
| | 2,038 | | | Wuhan Guide Infrared Co., Ltd., Class A Shares | | $ | 1,726 | |
| | 5,500 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 95,291 | |
| | 6,260 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares | | | 28,811 | |
| | 3,864 | | | WuXi AppTec Co., Ltd., Class A Shares | | | 21,371 | |
| | 8,748 | | | WuXi AppTec Co., Ltd., Class H Shares(a)(d) | | | 38,536 | |
| | 98,000 | | | Wuxi Biologics Cayman Inc.*(a) | | | 138,485 | |
| | 22,000 | | | XCMG Construction Machinery Co., Ltd., Class A Shares | | | 19,774 | |
| | 394,200 | | | Xiaomi Corp., Class B Shares*(a) | | | 978,346 | |
| | 2,778 | | | Xinjiang Daqo New Energy Co., Ltd., Class A Shares | | | 7,101 | |
| | 732,000 | | | Xinyi Solar Holdings Ltd. | | | 285,420 | |
| | 29,422 | | | XPeng Inc., Class A Shares* | | | 118,967 | |
| | 28,000 | | | Yadea Group Holdings Ltd.(a) | | | 39,601 | |
| | 10,660 | | | Yankuang Energy Group Co., Ltd., Class A Shares | | | 21,381 | |
| | 76,700 | | | Yankuang Energy Group Co., Ltd., Class H Shares(d) | | | 99,627 | |
| | 3,700 | | | Yantai Jereh Oilfield Services Group Co., Ltd., Class A Shares | | | 15,350 | |
| | 1,470 | | | Yealink Network Technology Corp., Ltd., Class A Shares | | | 6,841 | |
| | 133,628 | | | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | | | 380,577 | |
| | 1,800 | | | Yihai Kerry Arawana Holdings Co., Ltd., Class A Shares | | | 6,572 | |
| | 5,330 | | | Yonyou Network Technology Co., Ltd., Class A Shares* | | | 6,554 | |
| | 8,200 | | | YTO Express Group Co., Ltd., Class A Shares | | | 17,666 | |
| | 8,203 | | | Yum China Holdings Inc. | | | 277,343 | |
| | 7,900 | | | Yunnan Aluminium Co., Ltd., Class A Shares | | | 13,510 | |
| | 2,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 18,300 | |
| | 1,300 | | | Yunnan Energy New Material Co., Ltd., Class A Shares | | | 4,939 | |
| | 6,100 | | | Yutong Bus Co., Ltd., Class A Shares | | | 18,373 | |
| | 4,000 | | | Zangge Mining Co., Ltd., Class A Shares | | | 13,619 | |
| | 800 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | | | 23,587 | |
| | 36,500 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(d) | | | 59,667 | |
| | 14,520 | | | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | | | 6,703 | |
| | 2,100 | | | Zhejiang Chint Electrics Co., Ltd., Class A Shares | | | 5,202 | |
| | 6,400 | | | Zhejiang Dahua Technology Co., Ltd., Class A Shares | | | 12,399 | |
| | 1,300 | | | Zhejiang Dingli Machinery Co., Ltd., Class A Shares | | | 8,889 | |
| | 27,680 | | | Zhejiang Expressway Co., Ltd., Class H Shares(d) | | | 17,865 | |
| | 2,158 | | | Zhejiang Huayou Cobalt Co., Ltd., Class A Shares | | | 7,033 | |
| | 1,900 | | | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A Shares | | | 6,352 | |
| | 5,900 | | | Zhejiang Juhua Co., Ltd., Class A Shares | | | 13,680 | |
| | 10,982 | | | Zhejiang Leapmotor Technology Co., Ltd.*(a) | | | 30,200 | |
| | 7,200 | | | Zhejiang NHU Co., Ltd., Class A Shares | | | 19,662 | |
| | 5,500 | | | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A Shares | | | 13,501 | |
| | 23,800 | | | Zhejiang Zheneng Electric Power Co., Ltd., Class A Shares | | | 20,776 | |
| | 7,900 | | | Zheshang Securities Co., Ltd., Class A Shares | | | 12,480 | |
| | 1,820 | | | Zhongji Innolight Co., Ltd., Class A Shares | | | 28,097 | |
| | 11,600 | | | Zhongjin Gold Corp., Ltd., Class A Shares | | | 21,985 | |
| | 17,500 | | | Zhongsheng Group Holdings Ltd. | | | 20,061 | |
| | 2,300 | | | Zhongtai Securities Co., Ltd., Class A Shares | | | 1,892 | |
| | 3,906 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class A Shares | | | 25,549 | |
| | 11,200 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(d) | | | 38,794 | |
| | 33,400 | | | Zijin Mining Group Co., Ltd., Class A Shares | | | 75,235 | |
| | 136,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(d) | | | 274,846 | |
| | 13,200 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares | | | 11,773 | |
| | 3,100 | | | ZTE Corp., Class A Shares | | | 10,869 | |
| | 18,000 | | | ZTE Corp., Class H Shares(d) | | | 36,386 | |
| | 13,505 | | | ZTO Express Cayman Inc.* | | | 296,499 | |
| | | | | | | | |
| | | | Total China | | | 103,833,827 | |
| | | | | | | | |
See Notes to Financial Statements.
106
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Colombia — 0.0%@ | |
| | 6,956 | | | Bancolombia SA | | $ | 63,188 | |
| | 12,422 | | | Interconexion Electrica SA ESP | | | 53,954 | |
| | | | | | | | |
| | | | Total Colombia | | | 117,142 | |
| | | | | | | | |
|
| Cyprus — 0.0%@ | |
| | 2,925 | | | TCS Group Holding PLC, Class Registered Shares, GDR*(b)# | | | — | |
| | | | | | | | |
|
| Czech Republic — 0.1% | |
| | 4,270 | | | CEZ AS | | | 163,045 | |
| | 3,257 | | | Komercni Banka AS | | | 110,489 | |
| | 10,147 | | | Moneta Money Bank AS(a) | | | 48,853 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 322,387 | |
| | | | | | | | |
|
| Egypt — 0.3% | |
| | 1,593,504 | | | Cleopatra Hospital* | | | 221,229 | |
| | 55,480 | | | Commercial International Bank — Egypt (CIB) | | | 99,367 | |
| | 707,722 | | | Commercial International Bank — Egypt (CIB), Class Registered Shares, GDR | | | 1,188,386 | |
| | 30,598 | | | Eastern Co. SAE | | | 16,017 | |
| | | | | | | | |
| | | | Total Egypt | | | 1,524,999 | |
| | | | | | | | |
|
| Germany — 0.2% | |
| | 22,340 | | | Delivery Hero SE, Class A Shares*(a) | | | 704,960 | |
| | | | | | | | |
|
| Greece — 0.9% | |
| | 51,204 | | | Alpha Services & Holdings SA | | | 87,824 | |
| | 339,236 | | | Eurobank Ergasias Services & Holdings SA | | | 775,004 | |
| | 1,594 | | | FF Group*(b)# | | | — | |
| | 4,184 | | | Hellenic Telecommunications Organization SA | | | 67,832 | |
| | 2,718 | | | JUMBO SA | | | 68,968 | |
| | 17,374 | | | Metlen Energy & Metals SA | | | 653,810 | |
| | 131,171 | | | National Bank of Greece SA | | | 1,143,775 | |
| | 39,219 | | | OPAP SA | | | 678,668 | |
| | 209,914 | | | Piraeus Financial Holdings SA | | | 907,382 | |
| | 5,371 | | | Public Power Corp. SA | | | 69,015 | |
| | | | | | | | |
| | | | Total Greece | | | 4,452,278 | |
| | | | | | | | |
|
| Hong Kong — 1.5% | |
| | 329,800 | | | AIA Group Ltd. | | | 2,352,409 | |
| | 164,000 | | | Alibaba Health Information Technology Ltd.* | | | 62,941 | |
| | 56,400 | | | ASMPT Ltd. | | | 635,844 | |
| | 11,000 | | | Beijing Enterprises Holdings Ltd. | | | 35,606 | |
| | 78,000 | | | Beijing Enterprises Water Group Ltd. | | | 22,821 | |
| | 110,000 | | | Bosideng International Holdings Ltd. | | | 53,987 | |
| | 15,000 | | | C&D International Investment Group Ltd. | | | 24,330 | |
| | 1,919,829 | | | China Education Group Holdings Ltd. | | | 1,083,771 | |
| | 64,800 | | | China Gas Holdings Ltd. | | | 54,921 | |
| | 700,000 | | | China Medical System Holdings Ltd. | | | 637,084 | |
| | 29,538 | | | China Merchants Port Holdings Co., Ltd. | | | 44,229 | |
| | 95,500 | | | China Overseas Land & Investment Ltd. | | | 150,824 | |
| | 131,000 | | | China Power International Development Ltd. | | | 60,005 | |
| | 40,000 | | | China Resources Beer Holdings Co., Ltd. | | | 123,953 | |
| | 21,600 | | | China Resources Gas Group Ltd. | | | 72,989 | |
| | 80,000 | | | China Resources Land Ltd. | | | 227,282 | |
| | 54,000 | | | China Resources Power Holdings Co., Ltd. | | | 146,680 | |
| | 128,000 | | | China Ruyi Holdings Ltd.*(c) | | | 37,092 | |
| | 58,000 | | | China State Construction International Holdings Ltd. | | | 82,711 | |
| | 35,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 46,220 | |
See Notes to Financial Statements.
107
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Hong Kong — 1.5% — (continued) | |
| | 51,000 | | | Chow Tai Fook Jewellery Group Ltd. | | $ | 43,494 | |
| | 50,000 | | | Far East Horizon Ltd. | | | 34,938 | |
| | 72,000 | | | Galaxy Entertainment Group Ltd. | | | 279,831 | |
| | 531,000 | | | GCL Technology Holdings Ltd.* | | | 79,178 | |
| | 151,000 | | | Geely Automobile Holdings Ltd. | | | 169,086 | |
| | 60,000 | | | Guangdong Investment Ltd. | | | 33,885 | |
| | 92,000 | | | Kunlun Energy Co., Ltd. | | | 92,338 | |
| | 3,000 | | | Orient Overseas International Ltd. | | | 41,765 | |
| | 238,750 | | | Sino Biopharmaceutical Ltd. | | | 98,500 | |
| | 1,077,000 | | | Want Want China Holdings Ltd. | | | 623,296 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 7,452,010 | |
| | | | | | | | |
|
| Hungary — 0.8% | |
| | 123,872 | | | MOL Hungarian Oil & Gas PLC | | | 940,292 | |
| | 60,607 | | | OTP Bank Nyrt | | | 3,121,560 | |
| | 3,969 | | | Richter Gedeon Nyrt | | | 120,558 | |
| | | | | | | | |
| | | | Total Hungary | | | 4,182,410 | |
| | | | | | | | |
|
| India — 18.1% | |
| | 1,327 | | | ABB India Ltd. | | | 125,870 | |
| | 4,372 | | | Adani Enterprises Ltd. | | | 158,606 | |
| | 7,933 | | | Adani Green Energy Ltd.* | | | 174,000 | |
| | 13,223 | | | Adani Ports & Special Economic Zone Ltd. | | | 235,054 | |
| | 19,316 | | | Adani Power Ltd.* | | | 146,454 | |
| | 14,916 | | | Ambuja Cements Ltd. | | | 109,969 | |
| | 4,996 | | | APL Apollo Tubes Ltd. | | | 87,118 | |
| | 20,454 | | | Apollo Hospitals Enterprise Ltd. | | | 1,692,719 | |
| | 39,500 | | | Ashok Leyland Ltd. | | | 121,379 | |
| | 57,779 | | | Asian Paints Ltd. | | | 2,164,899 | |
| | 3,407 | | | Astral Ltd. | | | 78,243 | |
| | 7,175 | | | AU Small Finance Bank Ltd.(a) | | | 58,984 | |
| | 6,343 | | | Aurobindo Pharma Ltd. | | | 118,761 | |
| | 4,074 | | | Avenue Supermarts Ltd.*(a) | | | 239,960 | |
| | 108,499 | | | Axis Bank Ltd. | | | 1,529,368 | |
| | 1,870 | | | Bajaj Auto Ltd. | | | 243,315 | |
| | 7,206 | | | Bajaj Finance Ltd. | | | 620,818 | |
| | 9,766 | | | Bajaj Finserv Ltd. | | | 207,845 | |
| | 580 | | | Bajaj Holdings & Investment Ltd. | | | 69,857 | |
| | 2,232 | | | Balkrishna Industries Ltd. | | | 75,837 | |
| | 28,101 | | | Bank of Baroda | | | 84,088 | |
| | 96,720 | | | Bharat Electronics Ltd. | | | 348,054 | |
| | 7,210 | | | Bharat Forge Ltd. | | | 136,503 | |
| | 26,158 | | | Bharat Heavy Electricals Ltd. | | | 91,286 | |
| | 41,676 | | | Bharat Petroleum Corp., Ltd. | | | 178,011 | |
| | 61,877 | | | Bharti Airtel Ltd. | | | 1,172,465 | |
| | 119 | | | Bosch Ltd. | | | 45,646 | |
| | 2,742 | | | Britannia Industries Ltd. | | | 191,831 | |
| | 47,609 | | | Canara Bank | | | 63,535 | |
| | 18,240 | | | CG Power & Industrial Solutions Ltd. | | | 152,125 | |
| | 74,248 | | | Cholamandalam Investment & Finance Co., Ltd. | | | 1,289,491 | |
| | 13,141 | | | Cipla Ltd. | | | 260,234 | |
| | 39,287 | | | Coal India Ltd. | | | 246,535 | |
| | 4,130 | | | Colgate-Palmolive India Ltd. | | | 179,533 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 70,503 | |
| | 3,608 | | | Cummins India Ltd. | | | 161,393 | |
| | 16,912 | | | Dabur India Ltd. | | | 129,205 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 18.1% — (continued) | |
| | 91,447 | | | Delhivery Ltd.* | | $ | 460,487 | |
| | 3,172 | | | Divi’s Laboratories Ltd. | | | 193,378 | |
| | 447 | | | Dixon Technologies India Ltd. | | | 68,963 | |
| | 18,595 | | | DLF Ltd. | | | 188,327 | |
| | 2,924 | | | Dr Reddy’s Laboratories Ltd. | | | 243,931 | |
| | 3,549 | | | Eicher Motors Ltd. | | | 210,425 | |
| | 61,646 | | | GAIL India Ltd. | | | 174,531 | |
| | 94,009 | | | GMR Airports Infrastructure Ltd.* | | | 106,147 | |
| | 10,532 | | | Godrej Consumer Products Ltd. | | | 185,617 | |
| | 3,891 | | | Godrej Properties Ltd.* | | | 135,604 | |
| | 6,595 | | | Grasim Industries Ltd. | | | 212,191 | |
| | 6,625 | | | Havells India Ltd. | | | 150,497 | |
| | 23,729 | | | HCL Technologies Ltd. | | | 496,327 | |
| | 2,494 | | | HDFC Asset Management Co., Ltd.(a) | | | 131,923 | |
| | 158,903 | | | HDFC Bank Ltd. | | | 3,087,865 | |
| | 108,690 | | | HDFC Bank Ltd., ADR | | | 6,642,046 | |
| | 24,643 | | | HDFC Life Insurance Co., Ltd.(a) | | | 218,409 | |
| | 3,003 | | | Hero MotoCorp Ltd. | | | 195,813 | |
| | 36,234 | | | Hindalco Industries Ltd. | | | 304,400 | |
| | 5,058 | | | Hindustan Aeronautics Ltd. | | | 283,614 | |
| | 25,257 | | | Hindustan Petroleum Corp., Ltd. | | | 126,781 | |
| | 21,689 | | | Hindustan Unilever Ltd. | | | 720,542 | |
| | 133,781 | | | ICICI Bank Ltd. | | | 1,972,640 | |
| | 174,277 | | | ICICI Bank Ltd., ADR | | | 5,108,059 | |
| | 5,885 | | | ICICI Lombard General Insurance Co., Ltd.(a) | | | 150,089 | |
| | 7,139 | | | ICICI Prudential Life Insurance Co., Ltd.(a) | | | 63,962 | |
| | 91,962 | | | IDFC First Bank Ltd.* | | | 81,174 | |
| | 20,451 | | | Indian Hotels Co., Ltd.(The), Class A Shares | | | 160,651 | |
| | 75,308 | | | Indian Oil Corp., Ltd. | | | 159,308 | |
| | 7,982 | | | Indian Railway Catering & Tourism Corp., Ltd. | | | 89,113 | |
| | 378,360 | | | Indus Towers Ltd.* | | | 2,064,719 | |
| | 7,972 | | | IndusInd Bank Ltd. | | | 136,036 | |
| | 1,690 | | | Info Edge India Ltd. | | | 154,617 | |
| | 86,107 | | | Infosys Ltd. | | | 2,001,399 | |
| | 26,221 | | | Infosys Ltd., ADR(c) | | | 610,425 | |
| | 4,288 | | | InterGlobe Aviation Ltd.*(a) | | | 246,639 | |
| | 78,738 | | | ITC Ltd. | | | 473,511 | |
| | 5,458 | | | Jindal Stainless Ltd. | | | 51,746 | |
| | 11,170 | | | Jindal Steel & Power Ltd. | | | 129,402 | |
| | 312,233 | | | Jio Financial Services Ltd.* | | | 1,204,592 | |
| | 8,072 | | | JSW Energy Ltd. | | | 68,942 | |
| | 15,309 | | | JSW Steel Ltd. | | | 172,864 | |
| | 9,086 | | | Jubilant Foodworks Ltd. | | | 70,994 | |
| | 10,100 | | | KEI Industries Ltd. | | | 558,362 | |
| | 133,096 | | | Kotak Mahindra Bank Ltd. | | | 2,832,260 | |
| | 17,403 | | | Larsen & Toubro Ltd. | | | 773,433 | |
| | 2,225 | | | LTIMindtree Ltd.(a) | | | 163,913 | |
| | 6,483 | | | Lupin Ltd. | | | 174,164 | |
| | 5,993 | | | Macrotech Developers Ltd.(a) | | | 89,409 | |
| | 24,102 | | | Mahindra & Mahindra Ltd. | | | 810,067 | |
| | 1,444 | | | Mankind Pharma Ltd.* | | | 42,670 | |
| | 11,927 | | | Marico Ltd. | | | 92,734 | |
| | 21,658 | | | Maruti Suzuki India Ltd. | | | 3,227,533 | |
| | 20,361 | | | Max Healthcare Institute Ltd. | | | 210,013 | |
| | 2,434 | | | Mphasis Ltd. | | | 89,787 | |
| | 71 | | | MRF Ltd. | | | 114,613 | |
See Notes to Financial Statements.
109
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 18.1% — (continued) | |
| | 3,203 | | | Muthoot Finance Ltd. | | $ | 75,108 | |
| | 9,065 | | | Nestle India Ltd. | | | 271,023 | |
| | 81,081 | | | NHPC Ltd. | | | 94,260 | |
| | 25,684 | | | NMDC Ltd. | | | 68,655 | |
| | 113,375 | | | NTPC Ltd. | | | 566,166 | |
| | 44,240 | | | Oberoi Realty Ltd. | | | 941,905 | |
| | 84,277 | | | Oil & Natural Gas Corp., Ltd. | | | 333,420 | |
| | 9,497 | | | Oil India Ltd.* | | | 82,152 | |
| | 213 | | | Oracle Financial Services Software Ltd.* | | | 27,427 | |
| | 147 | | | Page Industries Ltd. | | | 74,387 | |
| | 5,366 | | | PB Fintech Ltd.* | | | 112,336 | |
| | 2,863 | | | Persistent Systems Ltd. | | | 176,290 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 76,934 | |
| | 46,657 | | | Phoenix Mills Ltd. (The) | | | 2,097,606 | |
| | 2,152 | | | PI Industries Ltd. | | | 116,055 | |
| | 3,821 | | | Pidilite Industries Ltd. | | | 142,765 | |
| | 1,425 | | | Polycab India Ltd. | | | 116,273 | |
| | 37,344 | | | Power Finance Corp., Ltd. | | | 247,670 | |
| | 121,853 | | | Power Grid Corp. of India Ltd. | | | 493,949 | |
| | 957 | | | Prestige Estates Projects Ltd.* | | | 20,433 | |
| | 76,677 | | | Punjab National Bank | | | 106,776 | |
| | 12,011 | | | Rail Vikas Nigam Ltd. | | | 86,470 | |
| | 33,577 | | | REC Ltd. | | | 250,242 | |
| | 318,820 | | | Reliance Industries Ltd. | | | 11,543,834 | |
| | 67,114 | | | Samvardhana Motherson International Ltd. | | | 156,261 | |
| | 10,224 | | | SBI Cards & Payment Services Ltd. | | | 88,448 | |
| | 11,477 | | | SBI Life Insurance Co., Ltd.(a) | | | 255,113 | |
| | 207 | | | Shree Cement Ltd. | | | 63,019 | |
| | 7,055 | | | Shriram Finance Ltd. | | | 270,844 | |
| | 2,332 | | | Siemens Ltd. | | | 192,825 | |
| | 579 | | | Solar Industries India Ltd. | | | 74,004 | |
| | 10,219 | | | Sona Blw Precision Forgings Ltd.(a) | | | 83,570 | |
| | 3,892 | | | SRF Ltd. | | | 119,708 | |
| | 47,271 | | | State Bank of India | | | 461,457 | |
| | 131,071 | | | Sterling & Wilson Renewable* | | | 1,050,116 | |
| | 25,031 | | | Sun Pharmaceutical Industries Ltd. | | | 545,210 | |
| | 963 | | | Sundaram Finance Ltd. | | | 58,639 | |
| | 1,431 | | | Supreme Industries Ltd. | | | 89,733 | |
| | 222,191 | | | Suzlon Energy Ltd.* | | | 200,648 | |
| | 3,941 | | | Tata Communications Ltd. | | | 92,210 | |
| | 81,175 | | | Tata Consultancy Services Ltd. | | | 4,426,837 | |
| | 14,523 | | | Tata Consumer Products Ltd. | | | 208,563 | |
| | 865 | | | Tata Elxsi Ltd. | | | 82,340 | |
| | 43,256 | | | Tata Motors Ltd. | | | 574,492 | |
| | 11,983 | | | Tata Motors Ltd., Class A Shares(h) | | | 110,359 | |
| | 39,727 | | | Tata Power Co., Ltd. (The) | | | 206,509 | |
| | 194,220 | | | Tata Steel Ltd. | | | 356,217 | |
| | 13,444 | | | Tech Mahindra Ltd. | | | 263,108 | |
| | 349 | | | Thermax Ltd. | | | 18,268 | |
| | 98,316 | | | Titan Co., Ltd. | | | 4,208,527 | |
| | 2,293 | | | Torrent Pharmaceuticals Ltd. | | | 95,703 | |
| | 1,979 | | | Torrent Power Ltd. | | | 41,464 | |
| | 4,675 | | | Trent Ltd. | | | 401,121 | |
| | 2,739 | | | Tube Investments of India Ltd. | | | 132,007 | |
| | 5,948 | | | TVS Motor Co., Ltd. | | | 200,696 | |
| | 19,722 | | | UltraTech Cement Ltd. | | | 2,668,147 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 18.1% — (continued) | |
| | 37,122 | | | Union Bank of India Ltd. | | $ | 54,034 | |
| | 9,163 | | | United Spirits Ltd. | | | 162,077 | |
| | 133,986 | | | UPL Ltd. | | | 958,619 | |
| | 11,387 | | | Varun Beverages Ltd. | | | 204,555 | |
| | 31,728 | | | Vedanta Ltd. | | | 177,635 | |
| | 411,839 | | | Vodafone Idea Ltd.* | | | 76,045 | |
| | 36,281 | | | Wipro Ltd. | | | 234,819 | |
| | 394,970 | | | Yes Bank Ltd.* | | | 111,693 | |
| | 168,818 | | | Zomato Ltd.* | | | 507,440 | |
| | | | | | | | |
| | | | Total India | | | 90,352,368 | |
| | | | | | | | |
|
| Indonesia — 2.3% | |
| | 401,700 | | | Adaro Energy Indonesia Tbk PT | | | 92,477 | |
| | 170,900 | | | Amman Mineral Internasional PT* | | | 117,982 | |
| | 3,336,500 | | | Astra International Tbk PT | | | 1,101,335 | |
| | 1,420,100 | | | Bank Central Asia Tbk PT | | | 949,241 | |
| | 3,204,548 | | | Bank Mandiri Persero Tbk PT | | | 1,478,525 | |
| | 4,340,100 | | | Bank Negara Indonesia Persero Tbk PT | | | 1,503,516 | |
| | 11,284,624 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 3,763,066 | |
| | 560,626 | | | Barito Pacific Tbk PT | | | 41,570 | |
| | 177,900 | | | Chandra Asri Pacific Tbk PT | | | 114,840 | |
| | 174,600 | | | Charoen Pokphand Indonesia Tbk PT | | | 54,944 | |
| | 22,997,800 | | | GoTo Gojek Tokopedia Tbk PT, Class A Shares* | | | 77,538 | |
| | 53,100 | | | Indah Kiat Pulp & Paper Tbk PT | | | 27,865 | |
| | 74,900 | | | Indofood CBP Sukses Makmur Tbk PT | | | 55,641 | |
| | 106,100 | | | Indofood Sukses Makmur Tbk PT | | | 46,947 | |
| | 492,600 | | | Kalbe Farma Tbk PT | | | 52,637 | |
| | 255,049 | | | Merdeka Copper Gold Tbk PT* | | | 38,928 | |
| | 448,700 | | | Sumber Alfaria Trijaya Tbk PT | | | 84,234 | |
| | 1,240,287 | | | Telkom Indonesia Persero Tbk PT | | | 244,933 | |
| | 52,279 | | | Telkom Indonesia Persero Tbk PT, ADR | | | 1,024,668 | |
| | 188,500 | | | Unilever Indonesia Tbk PT | | | 27,708 | |
| | 412,300 | | | United Tractors Tbk PT | | | 721,969 | |
| | | | | | | | |
| | | | Total Indonesia | | | 11,620,564 | |
| | | | | | | | |
|
| Ireland — 0.4% | |
| | 21,291 | | | PDD Holdings Inc., ADR* | | | 2,046,278 | |
| | | | | | | | |
|
| Kazakhstan — 0.6% | |
| | 21,061 | | | Kaspi.KZ JSC, ADR | | | 2,763,933 | |
| | | | | | | | |
|
| Kuwait — 0.3% | |
| | 43,785 | | | Boubyan Bank KSCP | | | 84,503 | |
| | 48,681 | | | Gulf Bank KSCP | | | 50,700 | |
| | 263,956 | | | Kuwait Finance House KSCP | | | 630,000 | |
| | 21,255 | | | Mabanee Co., KPSC | | | 59,675 | |
| | 47,340 | | | Mobile Telecommunications Co., KSCP | | | 72,342 | |
| | 211,258 | | | National Bank of Kuwait SAKP | | | 607,169 | |
| | | | | | | | |
| | | | Total Kuwait | | | 1,504,389 | |
| | | | | | | | |
|
| Luxembourg — 0.1% | |
| | 3,221 | | | Reinet Investments SCA | | | 86,775 | |
| | 18,157 | | | Ternium SA, ADR | | | 611,346 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 698,121 | |
| | | | | | | | |
|
| Malaysia — 0.6% | |
| | 66,500 | | | AMMB Holdings Bhd | | | 80,106 | |
| | 59,300 | | | Axiata Group Bhd | | | 35,029 | |
| | 84,300 | | | CELCOMDIGI BHD | | | 75,580 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Malaysia — 0.6% — (continued) | |
| | 160,207 | | | CIMB Group Holdings Bhd | | $ | 304,366 | |
| | 43,400 | | | Gamuda Bhd | | | 75,507 | |
| | 47,100 | | | Genting Bhd | | | 47,198 | |
| | 85,100 | | | Genting Malaysia Bhd | | | 49,701 | |
| | 15,800 | | | Hong Leong Bank Bhd | | | 77,691 | |
| | 48,000 | | | IHH Healthcare Bhd | | | 69,672 | |
| | 80,700 | | | Inari Amertron Bhd | | | 58,876 | |
| | 56,900 | | | IOI Corp. Bhd | | | 52,903 | |
| | 11,400 | | | Kuala Lumpur Kepong Bhd | | | 57,451 | |
| | 135,909 | | | Malayan Banking Bhd | | | 339,356 | |
| | 25,900 | | | Malaysia Airports Holdings Bhd | | | 62,960 | |
| | 57,900 | | | Maxis Bhd | | | 51,746 | |
| | 29,200 | | | MISC Bhd | | | 56,784 | |
| | 103,300 | | | MR DIY Group M Bhd(a) | | | 49,304 | |
| | 1,600 | | | Nestle Malaysia Bhd | | | 39,279 | |
| | 72,100 | | | Petronas Chemicals Group Bhd | | | 97,002 | |
| | 8,600 | | | Petronas Dagangan Bhd | | | 41,965 | |
| | 18,400 | | | Petronas Gas Bhd | | | 77,824 | |
| | 18,200 | | | PPB Group Bhd | | | 61,562 | |
| | 94,700 | | | Press Metal Aluminium Holdings Bhd | | | 109,188 | |
| | 364,500 | | | Public Bank Bhd | | | 406,922 | |
| | 31,500 | | | QL Resources Bhd | | | 47,404 | |
| | 38,400 | | | RHB Bank Bhd | | | 54,491 | |
| | 56,800 | | | SD Guthrie Bhd | | | 60,148 | |
| | 77,600 | | | Sime Darby Bhd | | | 44,600 | |
| | 31,400 | | | Telekom Malaysia Bhd | | | 49,191 | |
| | 68,000 | | | Tenaga Nasional Bhd | | | 230,579 | |
| | 82,800 | | | YTL Corp. Bhd | | | 55,764 | |
| | 61,300 | | | YTL Power International Bhd | | | 55,308 | |
| | | | | | | | |
| | | | Total Malaysia | | | 2,975,457 | |
| | | | | | | | |
|
| Mexico — 2.8% | |
| | 70,338 | | | Alfa SAB de CV, Class A Shares | | | 41,007 | |
| | 46,880 | | | America Movil SAB de CV, ADR | | | 776,333 | |
| | 481,121 | | | America Movil SAB de CV, Series B | | | 397,768 | |
| | 14,918 | | | Arca Continental SAB de CV | | | 134,540 | |
| | 19,551 | | | Banco del Bajio SA(a) | | | 48,730 | |
| | 23,495 | | | BBB Foods Inc., Class A Shares*(c) | | | 746,671 | |
| | 119,653 | | | Cemex SAB de CV, ADR | | | 733,473 | |
| | 12,194 | | | Coca-Cola Femsa SAB de CV | | | 103,081 | |
| | 75,717 | | | Fibra Uno Administracion SA de CV, REIT | | | 89,285 | |
| | 48,269 | | | Fomento Economico Mexicano SAB de CV | | | 496,405 | |
| | 4,494 | | | Gruma SAB de CV, Class B Shares | | | 82,721 | |
| | 7,753 | | | Grupo Aeroportuario del Centro Norte SAB de CV, Class B Shares | | | 62,153 | |
| | 3,358 | | | Grupo Aeroportuario del Pacifico SAB de CV, ADR | | | 596,649 | |
| | 9,814 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 173,309 | |
| | 4,394 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 117,757 | |
| | 34,834 | | | Grupo Bimbo SAB de CV, Series A | | | 125,085 | |
| | 14,463 | | | Grupo Carso SAB de CV, Series A1 | | | 88,622 | |
| | 505,213 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 3,503,381 | |
| | 45,899 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares* | | | 109,086 | |
| | 204,677 | | | Grupo México SAB de CV, Series B | | | 1,051,371 | |
| | 5,497 | | | Industrias Peñoles SAB de CV* | | | 66,431 | |
| | 402,280 | | | Kimberly-Clark de México SAB de CV, Class A Shares | | | 660,473 | |
| | 29,228 | | | Operadora de Sites Mexicanos SAB de CV, Class 1 Shares | | | 24,936 | |
| | 225,234 | | | Orbia Advance Corp. SAB de CV | | | 242,374 | |
| | 19,988 | | | Prologis Property Mexico SA de CV, REIT | | | 63,532 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Mexico — 2.8% — (continued) | |
| | 5,386 | | | Promotora y Operadora de Infraestructura SAB de CV | | $ | 50,330 | |
| | 39,681 | | | Qualitas Controladora SAB de CV | | | 317,867 | |
| | 137,300 | | | Regional SAB de CV | | | 873,173 | |
| | 732,967 | | | Wal-Mart de Mexico SAB de CV | | | 2,333,107 | |
| | | | | | | | |
| | | | Total Mexico | | | 14,109,650 | |
| | | | | | | | |
|
| Netherlands — 0.7% | |
| | 7,493 | | | Nebius Group NV, Class A Shares*(b)# | | | 1 | |
| | 14,066 | | | NEPI Rockcastle NV | | | 114,295 | |
| | 95,344 | | | Prosus NV* | | | 3,553,398 | |
| | | | | | | | |
| | | | Total Netherlands | | | 3,667,694 | |
| | | | | | | | |
|
| Peru — 0.2% | |
| | 5,992 | | | Cia de Minas Buenaventura SAA, ADR | | | 74,301 | |
| | 4,891 | | | Credicorp Ltd. | | | 872,310 | |
| | | | | | | | |
| | | | Total Peru | | | 946,611 | |
| | | | | | | | |
|
| Philippines — 1.2% | |
| | 7,250 | | | Ayala Corp. | | | 78,158 | |
| | 183,660 | | | Ayala Land Inc. | | | 115,444 | |
| | 42,256 | | | Bank of the Philippine Islands | | | 93,838 | |
| | 59,363 | | | BDO Unibank Inc. | | | 161,628 | |
| | 6,455,900 | | | Bloomberry Resorts Corp.* | | | 905,703 | |
| | 545,360 | | | International Container Terminal Services Inc. | | | 3,846,237 | |
| | 63,856 | | | JG Summit Holdings Inc. | | | 26,750 | |
| | 9,430 | | | Jollibee Foods Corp. | | | 43,582 | |
| | 9,080 | | | Manila Electric Co. | | | 68,674 | |
| | 38,866 | | | Metropolitan Bank & Trust Co. | | | 50,833 | |
| | 2,295 | | | PLDT Inc. | | | 61,172 | |
| | 462,590 | | | Robinsons Retail Holdings Inc. | | | 315,901 | |
| | 6,120 | | | SM Investments Corp. | | | 96,589 | |
| | 259,400 | | | SM Prime Holdings Inc. | | | 143,219 | |
| | 22,540 | | | Universal Robina Corp. | | | 36,518 | |
| | | | | | | | |
| | | | Total Philippines | | | 6,044,246 | |
| | | | | | | | |
|
| Poland — 0.9% | |
| | 758 | | | Alior Bank SA | | | 20,054 | |
| | 13,715 | | | Allegro.eu SA*(a) | | | 134,918 | |
| | 5,003 | | | Bank Polska Kasa Opieki SA | | | 205,400 | |
| | 294 | | | Budimex SA | | | 45,727 | |
| | 1,723 | | | CD Projekt SA | | | 81,737 | |
| | 1,507 | | | Dino Polska SA*(a) | | | 125,929 | |
| | 71,900 | | | InPost SA* | | | 1,333,608 | |
| | 4,278 | | | KGHM Polska Miedz SA | | | 154,568 | |
| | 30 | | | LPP SA | | | 114,272 | |
| | 371 | | | mBank SA* | | | 61,346 | |
| | 15,495 | | | ORLEN SA* | | | 257,720 | |
| | 18,281 | | | PGE Polska Grupa Energetyczna SA* | | | 32,036 | |
| | 112,918 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 1,691,028 | |
| | 17,106 | | | Powszechny Zaklad Ubezpieczen SA | | | 206,442 | |
| | 896 | | | Santander Bank Polska SA | | | 120,410 | |
| | | | | | | | |
| | | | Total Poland | | | 4,585,195 | |
| | | | | | | | |
|
| Portugal — 0.2% | |
| | 40,806 | | | Galp Energia SGPS SA | | | 846,879 | |
| | | | | | | | |
|
| Qatar — 0.3% | |
| | 58,133 | | | Barwa Real Estate Co. | | | 44,498 | |
| | 87,760 | | | Commercial Bank PSQC (The) | | | 98,343 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Qatar — 0.3% — (continued) | |
| | 50,646 | | | Dukhan Bank | | $ | 52,901 | |
| | 37,874 | | | Industries Qatar QSC | | | 134,051 | |
| | 149,110 | | | Masraf Al Rayan QSC | | | 94,307 | |
| | 113,710 | | | Mesaieed Petrochemical Holding Co. | | | 51,492 | |
| | 19,838 | | | Ooredoo QPSC | | | 59,958 | |
| | 9,328 | | | Qatar Electricity & Water Co. QSC | | | 40,170 | |
| | 10,432 | | | Qatar Fuel QSC | | | 41,644 | |
| | 58,343 | | | Qatar Gas Transport Co., Ltd. | | | 71,917 | |
| | 22,826 | | | Qatar International Islamic Bank QSC | | | 68,157 | |
| | 44,377 | | | Qatar Islamic Bank QPSC | | | 237,929 | |
| | 115,644 | | | Qatar National Bank QPSC | | | 504,038 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,499,405 | |
| | | | | | | | |
|
| Russia — 0.0%@ | |
| | 64,081 | | | Alrosa PJSC(b)# | | | 641 | |
| | 502,100 | | | Detsky Mir PJSC, (Cost — $786,566, acquired 10/15/20)*(a)(b)(e)# | | | 5,021 | |
| | 288,791 | | | Gazprom PJSC*(b)# | | | 2,676 | |
| | 155,000 | | | GMK Norilskiy Nickel PAO(b)# | | | 1,550 | |
| | 885,983 | | | Inter RAO UES PJSC(b)# | | | 8,860 | |
| | 10,171 | | | Lukoil PJSC(b)# | | | 102 | |
| | 24,130 | | | Mobile TeleSystems PJSC(b)# | | | 241 | |
| | 135,663 | | | Mobile TeleSystems PJSC, ADR*(b)# | | | 1,357 | |
| | 39,065 | | | Moscow Exchange MICEX-RTS PJSC(b)# | | | 391 | |
| | 22,130 | | | Novatek PJSC(b)# | | | 221 | |
| | 38,007 | | | Novolipetsk Steel PJSC(b)# | | | 375 | |
| | 1,593 | | | Ozon Holdings PLC, ADR*(b)# | | | — | |
| | 921 | | | PhosAgro PJSC(b)# | | | 9 | |
| | 19 | | | PhosAgro PJSC, Class Registered Shares, GDR*(b)# | | | — | |
| | 869 | | | Polyus PJSC*(b)# | | | 9 | |
| | 28,885 | | | Rosneft Oil Co. PJSC(b)# | | | 289 | |
| | 891,342 | | | Sberbank of Russia PJSC, (Cost — $1,699,436, acquired 8/3/16)(b)(e)# | | | 8,913 | |
| | 5,523 | | | Severstal PAO(b)# | | | 55 | |
| | 157,330 | | | Surgutneftegas PJSC(b)# | | | 1,573 | |
| | 37,602 | | | Tatneft PJSC(b)# | | | 327 | |
| | 88,972 | | | United Co. RUSAL International PJSC*(b)# | | | 10 | |
| | 2,330 | | | VK IPJSC, GDR*(b)# | | | — | |
| | 12,017 | | | VTB Bank PJSC(b)# | | | 2 | |
| | 3,377 | | | X5 Retail Group NV, Class Registered Shares, GDR*(b)# | | | — | |
| | | | | | | | |
| | | | Total Russia | | | 32,622 | |
| | | | | | | | |
|
| Saudi Arabia — 2.4% | |
| | 3,759 | | | ACWA Power Co. | | | 421,722 | |
| | 8,788 | | | Ades Holding Co.* | | | 48,010 | |
| | 3,528 | | | Advanced Petrochemical Co.* | | | 35,673 | |
| | 192,230 | | | Al Rajhi Bank | | | 4,515,752 | |
| | 870 | | | Al Rajhi Co. for Cooperative Insurance* | | | 47,213 | |
| | 32,602 | | | Alinma Bank | | | 272,513 | |
| | 7,258 | | | Almarai Co. JSC | | | 105,225 | |
| | 19,740 | | | Arab National Bank | | | 101,719 | |
| | 773 | | | Arabian Internet & Communications Services Co. | | | 59,857 | |
| | 15,611 | | | Bank AlBilad | | | 161,441 | |
| | 14,923 | | | Bank Al-Jazira* | | | 70,226 | |
| | 15,203 | | | Banque Saudi Fransi | | | 138,807 | |
| | 1,888 | | | Bupa Arabia for Cooperative Insurance Co. | | | 117,091 | |
| | 1,876 | | | Co. for Cooperative Insurance (The) | | | 78,971 | |
| | 891 | | | Dallah Healthcare Co. | | | 37,591 | |
| | 15,526 | | | Dar Al Arkan Real Estate Development Co.* | | | 60,664 | |
| | 12,785 | | | Dr Sulaiman Al Habib Medical Services Group Co. | | | 1,045,307 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Saudi Arabia — 2.4% — (continued) | |
| | 610 | | | Elm Co. | | $ | 162,987 | |
| | 8,864 | | | Etihad Etisalat Co. | | | 119,672 | |
| | 15,972 | | | Jarir Marketing Co. | | | 54,504 | |
| | 13,687 | | | Mobile Telecommunications Co. | | | 40,791 | |
| | 2,322 | | | Mouwasat Medical Services Co. | | | 64,463 | |
| | 1,521 | | | Nahdi Medical Co. | | | 53,943 | |
| | 1,801 | | | Power & Water Utility Co. for Jubail & Yanbu | | | 29,930 | |
| | 35,698 | | | Riyad Bank | | | 245,621 | |
| | 6,142 | | | SABIC Agri-Nutrients Co. | | | 190,986 | |
| | 8,982 | | | Sahara International Petrochemical Co. | | | 69,075 | |
| | 502 | | | SAL Saudi Logistics Services | | | 40,127 | |
| | 31,964 | | | Saudi Arabian Mining Co.* | | | 362,080 | |
| | 102,983 | | | Saudi Arabian Oil Co.(a) | | | 767,614 | |
| | 1,248 | | | Saudi Aramco Base Oil Co. | | | 43,968 | |
| | 23,002 | | | Saudi Awwal Bank | | | 215,175 | |
| | 23,148 | | | Saudi Basic Industries Corp. | | | 461,825 | |
| | 19,795 | | | Saudi Electricity Co. | | | 92,592 | |
| | 8,724 | | | Saudi Industrial Investment Group | | | 45,298 | |
| | 13,037 | | | Saudi Investment Bank (The) | | | 44,079 | |
| | 15,381 | | | Saudi Kayan Petrochemical Co.* | | | 35,328 | |
| | 73,786 | | | Saudi National Bank (The) | | | 693,776 | |
| | 874 | | | Saudi Research & Media Group* | | | 61,188 | |
| | 1,126 | | | Saudi Tadawul Group Holding Co. | | | 73,577 | |
| | 54,726 | | | Saudi Telecom Co. | | | 627,185 | |
| | 8,977 | | | Savola Group (The)* | | | 63,697 | |
| | 6,510 | | | Yanbu National Petrochemical Co. | | | 70,019 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 12,047,282 | |
| | | | | | | | |
|
| Singapore — 0.0%@ | |
| | 4,800 | | | BOC Aviation Ltd.(a) | | | 41,379 | |
| | | | | | | | |
|
| South Africa — 3.0% | |
| | 21,936 | | | Absa Group Ltd. | | | 216,880 | |
| | 1,850 | | | Anglo American Platinum Ltd. | | | 63,923 | |
| | 10,171 | | | Aspen Pharmacare Holdings Ltd. | | | 136,999 | |
| | 8,399 | | | Bid Corp., Ltd. | | | 211,815 | |
| | 77,717 | | | Bidvest Group Ltd. (The) | | | 1,270,365 | |
| | 17,927 | | | Capitec Bank Holdings Ltd. | | | 2,946,884 | |
| | 5,447 | | | Clicks Group Ltd. | | | 114,355 | |
| | 15,366 | | | Discovery Ltd. | | | 131,949 | |
| | 7,197 | | | Exxaro Resources Ltd. | | | 64,637 | |
| | 126,420 | | | FirstRand Ltd. | | | 610,837 | |
| | 22,375 | | | Gold Fields Ltd. | | | 309,298 | |
| | 14,566 | | | Harmony Gold Mining Co., Ltd. | | | 142,864 | |
| | 21,330 | | | Impala Platinum Holdings Ltd. | | | 92,401 | |
| | 1,524 | | | Kumba Iron Ore Ltd. | | | 30,257 | |
| | 996,122 | | | Life Healthcare Group Holdings Ltd. | | | 804,067 | |
| | 42,465 | | | MTN Group Ltd. | | | 211,748 | |
| | 4,694 | | | Naspers Ltd., Class N Shares | | | 970,121 | |
| | 102,333 | | | Nedbank Group Ltd.(c) | | | 1,705,598 | |
| | 8,806 | | | Northam Platinum Holdings Ltd. | | | 52,114 | |
| | 109,313 | | | Old Mutual Ltd. | | | 79,283 | |
| | 17,652 | | | OUTsurance Group Ltd. | | | 47,394 | |
| | 58,129 | | | Pepkor Holdings Ltd.(a) | | | 71,816 | |
| | 11,851 | | | Remgro Ltd. | | | 96,124 | |
| | 275,480 | | | Sanlam Ltd. | | | 1,375,692 | |
| | 13,620 | | | Sasol Ltd. | | | 104,736 | |
See Notes to Financial Statements.
115
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Africa — 3.0% — (continued) | |
| | 12,587 | | | Shoprite Holdings Ltd. | | $ | 219,140 | |
| | 63,957 | | | Sibanye Stillwater Ltd. | | | 61,625 | |
| | 128,902 | | | Standard Bank Group Ltd. | | | 1,738,322 | |
| | 171,573 | | | Vodacom Group Ltd. | | | 1,062,275 | |
| | 22,047 | | | Woolworths Holdings Ltd. | | | 80,004 | |
| | | | | | | | |
| | | | Total South Africa | | | 15,023,523 | |
| | | | | | | | |
|
| South Korea — 10.8% | |
| | 1,078 | | | Alteogen Inc.* | | | 258,247 | |
| | 680 | | | Amorepacific Corp. | | | 63,396 | |
| | 3,961 | | | Celltrion Inc. | | | 602,705 | |
| | 468 | | | Celltrion Pharm Inc.* | | | 24,275 | |
| | 255 | | | CJ CheilJedang Corp. | | | 61,553 | |
| | 520 | | | CosmoAM&T Co., Ltd.* | | | 41,845 | |
| | 15,176 | | | Coway Co., Ltd. | | | 765,145 | |
| | 1,093 | | | DB Insurance Co., Ltd. | | | 95,453 | |
| | 8,851 | | | Doosan Bobcat Inc. | | | 264,664 | |
| | 12,898 | | | Doosan Enerbility Co., Ltd.* | | | 174,706 | |
| | 1,334 | | | Ecopro BM Co., Ltd.* | | | 168,755 | |
| | 2,500 | | | Ecopro Co., Ltd.* | | | 160,975 | |
| | 210 | | | Ecopro Materials Co., Ltd.* | | | 14,373 | |
| | 293 | | | Enchem Co., Ltd.* | | | 42,191 | |
| | 1,242 | | | GS Holdings Corp. | | | 42,022 | |
| | 7,321 | | | Hana Financial Group Inc. | | | 341,326 | |
| | 699 | | | Hanjin Kal Corp. | | | 36,056 | |
| | 1,886 | | | Hankook Tire & Technology Co., Ltd. | | | 61,229 | |
| | 159 | | | Hanmi Pharm Co., Ltd. | | | 37,528 | |
| | 1,096 | | | Hanmi Semiconductor Co., Ltd. | | | 94,366 | |
| | 950 | | | Hanwha Aerospace Co., Ltd.(b)(h) | | | 208,043 | |
| | 2,236 | | | Hanwha Ocean Co., Ltd.* | | | 57,953 | |
| | 3,319 | | | Hanwha Solutions Corp. | | | 64,265 | |
| | 1,100 | | | HD Hyundai Co., Ltd. | | | 66,678 | |
| | 580 | | | HD Hyundai Electric Co., Ltd. | | | 133,309 | |
| | 669 | | | HD Hyundai Heavy Industries Co., Ltd. | | | 97,413 | |
| | 1,094 | | | HD Korea Shipbuilding & Offshore Engineering Co., Ltd. | | | 157,259 | |
| | 2,995 | | | HLB Inc.* | | | 201,864 | |
| | 5,643 | | | HMM Co., Ltd. | | | 71,641 | |
| | 591 | | | HYBE Co., Ltd. | | | 81,623 | |
| | 1,889 | | | Hyundai Engineering & Construction Co., Ltd. | | | 45,311 | |
| | 868 | | | Hyundai Glovis Co., Ltd. | | | 72,863 | |
| | 5,521 | | | Hyundai Mobis Co., Ltd. | | | 900,067 | |
| | 3,555 | | | Hyundai Motor Co. | | | 681,785 | |
| | 2,601 | | | Hyundai Steel Co. | | | 49,574 | |
| | 8,855 | | | Industrial Bank of Korea | | | 91,751 | |
| | 8,305 | | | Kakao Corp. | | | 231,105 | |
| | 3,932 | | | KakaoBank Corp. | | | 65,204 | |
| | 33,837 | | | KB Financial Group Inc. | | | 2,181,631 | |
| | 12,960 | | | Kia Corp. | | | 1,031,820 | |
| | 1,875 | | | Korea Aerospace Industries Ltd. | | | 76,473 | |
| | 5,504 | | | Korea Electric Power Corp. | | | 89,203 | |
| | 955 | | | Korea Investment Holdings Co., Ltd. | | | 52,304 | |
| | 195 | | | Korea Zinc Co., Ltd. | | | 78,205 | |
| | 6,375 | | | Korean Air Lines Co., Ltd. | | | 105,430 | |
| | 699 | | | Krafton Inc.* | | | 171,307 | |
| | 32,193 | | | KT Corp. | | | 930,818 | |
| | 12,007 | | | KT&G Corp. | | | 973,428 | |
| | 1,186 | | | Kum Yang Co., Ltd.* | | | 41,296 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 10.8% — (continued) | |
| | 408 | | | Kumho Petrochemical Co., Ltd. | | $ | 41,793 | |
| | 620 | | | L&F Co., Ltd.* | | | 43,749 | |
| | 5,957 | | | LG Chem Ltd. | | | 1,436,528 | |
| | 2,541 | | | LG Corp. | | | 150,567 | |
| | 7,553 | | | LG Display Co., Ltd. | | | 63,938 | |
| | 2,933 | | | LG Electronics Inc. | | | 218,978 | |
| | 1,238 | | | LG Energy Solution Ltd.* | | | 360,757 | |
| | 218 | | | LG H&H Co., Ltd. | | | 57,891 | |
| | 336 | | | LG Innotek Co., Ltd. | | | 70,213 | |
| | 8,928 | | | LG Uplus Corp. | | | 65,129 | |
| | 421 | | | Lotte Chemical Corp. | | | 26,069 | |
| | 156 | | | LS Electric Co., Ltd.* | | | 19,468 | |
| | 2,561 | | | Meritz Financial Group Inc. | | | 175,325 | |
| | 5,672 | | | Mirae Asset Securities Co., Ltd. | | | 35,731 | |
| | 3,262 | | | NAVER Corp. | | | 414,605 | |
| | 406 | | | NCSoft Corp. | | | 57,069 | |
| | 529 | | | Netmarble Corp.*(a) | | | 24,151 | |
| | 3,575 | | | NH Investment & Securities Co., Ltd. | | | 36,606 | |
| | 638 | | | Orion Corp. | | | 43,909 | |
| | 1,134 | | | Posco DX Co., Ltd. | | | 22,676 | |
| | 831 | | | POSCO Future M Co., Ltd. | | | 134,105 | |
| | 1,782 | | | POSCO Holdings Inc. | | | 455,212 | |
| | 1,191 | | | Posco International Corp. | | | 50,514 | |
| | 1,346 | | | Samsung Biologics Co., Ltd.*(a) | | | 988,500 | |
| | 2,268 | | | Samsung C&T Corp. | | | 251,247 | |
| | 3,787 | | | Samsung E&A Co., Ltd.* | | | 72,033 | |
| | 1,588 | | | Samsung Electro-Mechanics Co., Ltd. | | | 170,615 | |
| | 334,766 | | | Samsung Electronics Co., Ltd. | | | 18,750,879 | |
| | 796 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 207,047 | |
| | 17,567 | | | Samsung Heavy Industries Co., Ltd.* | | | 138,259 | |
| | 2,029 | | | Samsung Life Insurance Co., Ltd. | | | 147,994 | |
| | 4,374 | | | Samsung SDI Co., Ltd. | | | 1,163,476 | |
| | 1,026 | | | Samsung SDS Co., Ltd. | | | 115,924 | |
| | 104,855 | | | Shinhan Financial Group Co., Ltd. | | | 4,434,888 | |
| | 946 | | | SK Biopharmaceuticals Co., Ltd.* | | | 81,403 | |
| | 725 | | | SK Bioscience Co., Ltd.* | | | 30,186 | |
| | 75,259 | | | SK Hynix Inc. | | | 9,834,396 | |
| | 12 | | | SK IE Technology Co., Ltd.*(a) | | | 296 | |
| | 854 | | | SK Inc. | | | 91,710 | |
| | 1,746 | | | SK Innovation Co., Ltd.* | | | 144,252 | |
| | 2,405 | | | SK Square Co., Ltd.* | | | 142,181 | |
| | 1,610 | | | SK Telecom Co., Ltd. | | | 66,431 | |
| | 436 | | | SKC Co., Ltd.* | | | 42,315 | |
| | 1,034 | | | S-Oil Corp. | | | 48,366 | |
| | 16,907 | | | Woori Financial Group Inc. | | | 202,509 | |
| | 1,358 | | | Yuhan Corp. | | | 143,535 | |
| | | | | | | | |
| | | | Total South Korea | | | 53,633,858 | |
| | | | | | | | |
|
| Taiwan — 15.6% | |
| | 13,000 | | | Accton Technology Corp. | | | 207,971 | |
| | 80,000 | | | Acer Inc. | | | 110,010 | |
| | 12,753 | | | Advantech Co., Ltd. | | | 139,865 | |
| | 4,139 | | | Airtac International Group | | | 112,887 | |
| | 2,000 | | | Alchip Technologies Ltd. | | | 167,532 | |
| | 402,498 | | | ASE Technology Holding Co., Ltd. | | | 1,954,186 | |
| | 59,000 | | | Asia Cement Corp. | | | 83,307 | |
| | 8,000 | | | Asia Vital Components Co., Ltd. | | | 153,431 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Taiwan — 15.6% — (continued) | |
| | 18,000 | | | Asustek Computer Inc. | | $ | 303,323 | |
| | 163,800 | | | AUO Corp.* | | | 84,437 | |
| | 16,000 | | | Catcher Technology Co., Ltd. | | | 118,499 | |
| | 238,550 | | | Cathay Financial Holding Co., Ltd. | | | 476,054 | |
| | 39,537 | | | Chailease Holding Co., Ltd. | | | 180,447 | |
| | 134,630 | | | Chang Hwa Commercial Bank Ltd. | | | 74,147 | |
| | 49,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 76,428 | |
| | 71,000 | | | China Airlines Ltd. | | | 45,919 | |
| | 298,000 | | | China Steel Corp. | | | 207,688 | |
| | 110,000 | | | Chroma ATE Inc. | | | 1,133,319 | |
| | 95,000 | | | Chunghwa Telecom Co., Ltd. | | | 367,889 | |
| | 97,000 | | | Compal Electronics Inc. | | | 101,267 | |
| | 441,880 | | | CTBC Financial Holding Co., Ltd. | | | 452,583 | |
| | 183,000 | | | Delta Electronics Inc. | | | 2,308,859 | |
| | 21,000 | | | E Ink Holdings Inc. | | | 201,404 | |
| | 382,794 | | | E.Sun Financial Holding Co., Ltd. | | | 338,448 | |
| | 4,100 | | | Eclat Textile Co., Ltd. | | | 69,054 | |
| | 2,000 | | | eMemory Technology Inc. | | | 166,536 | |
| | 80,000 | | | Eva Airways Corp. | | | 88,731 | |
| | 26,791 | | | Evergreen Marine Corp., Taiwan Ltd. | | | 158,121 | |
| | 67,000 | | | Far Eastern New Century Corp. | | | 76,190 | |
| | 44,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 124,552 | |
| | 12,230 | | | Feng TAY Enterprise Co., Ltd. | | | 55,983 | |
| | 281,048 | | | First Financial Holding Co., Ltd. | | | 240,749 | |
| | 88,000 | | | Formosa Chemicals & Fibre Corp. | | | 121,236 | |
| | 96,000 | | | Formosa Plastics Corp. | | | 155,481 | |
| | 3,300 | | | Fortune Electric Co., Ltd. | | | 69,379 | |
| | 204,554 | | | Fubon Financial Holding Co., Ltd. | | | 590,407 | |
| | 12,000 | | | Gigabyte Technology Co., Ltd. | | | 98,847 | |
| | 3,000 | | | Global Unichip Corp. | | | 105,574 | |
| | 160,000 | | | Globalwafers Co., Ltd. | | | 2,433,617 | |
| | 321,480 | | | Hon Hai Precision Industry Co., Ltd. | | | 1,879,871 | |
| | 7,140 | | | Hotai Motor Co., Ltd. | | | 147,733 | |
| | 208,111 | | | Hua Nan Financial Holdings Co., Ltd. | | | 166,295 | |
| | 190,164 | | | Innolux Corp.*(h) | | | 93,693 | |
| | 72,000 | | | Inventec Corp. | | | 103,238 | |
| | 368,112 | | | KGI Financial Holding Co., Ltd. | | | 186,025 | |
| | 2,541 | | | Largan Precision Co., Ltd. | | | 249,552 | |
| | 50,264 | | | Lite-On Technology Corp., ADR | | | 169,181 | |
| | 125,000 | | | MediaTek Inc. | | | 4,911,445 | |
| | 312,889 | | | Mega Financial Holding Co., Ltd. | | | 383,550 | |
| | 17,000 | | | Micro-Star International Co., Ltd. | | | 98,072 | |
| | 122,000 | | | Nan Ya Plastics Corp. | | | 173,694 | |
| | 29,000 | | | Nanya Technology Corp.* | | | 48,119 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 73,891 | |
| | 64,000 | | | Novatek Microelectronics Corp. | | | 1,089,820 | |
| | 50,000 | | | Pegatron Corp. | | | 161,224 | |
| | 7,000 | | | PharmaEssentia Corp.* | | | 152,439 | |
| | 63,000 | | | Pou Chen Corp. | | | 68,281 | |
| | 42,224 | | | Poya International Co., Ltd. | | | 662,986 | |
| | 15,539 | | | President Chain Store Corp. | | | 136,843 | |
| | 279,000 | | | Quanta Computer Inc. | | | 2,370,682 | |
| | 13,000 | | | Realtek Semiconductor Corp. | | | 218,667 | |
| | 34,000 | | | Ruentex Development Co., Ltd. | | | 52,619 | |
| | 96,598 | | | Shanghai Commercial & Savings Bank Ltd. (The) | | | 121,728 | |
| | 420,614 | | | Shin Kong Financial Holding Co., Ltd.*(h) | | | 170,216 | |
| | 253,571 | | | SinoPac Financial Holdings Co., Ltd. | | | 190,706 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Taiwan — 15.6% — (continued) | |
| | 32,700 | | | Synnex Technology International Corp. | | $ | 73,898 | |
| | 274,803 | | | Taishin Financial Holding Co., Ltd. | | | 159,244 | |
| | 175,831 | | | Taiwan Business Bank | | | 86,613 | |
| | 297,393 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 241,242 | |
| | 56,000 | | | Taiwan High Speed Rail Corp. | | | 52,398 | |
| | 46,000 | | | Taiwan Mobile Co., Ltd. | | | 161,128 | |
| | 930,507 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 27,759,925 | |
| | 99,642 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 17,108,531 | |
| | 173,668 | | | TCC Group Holdings Co., Ltd. | | | 179,114 | |
| | 35,000 | | | Unimicron Technology Corp. | | | 180,883 | |
| | 129,000 | | | Uni-President Enterprises Corp. | | | 332,581 | |
| | 294,000 | | | United Microelectronics Corp. | | | 511,364 | |
| | 22,000 | | | Vanguard International Semiconductor Corp. | | | 84,904 | |
| | 2,000 | | | Voltronic Power Technology Corp. | | | 124,218 | |
| | 60,427 | | | Walsin Lihwa Corp. | | | 66,614 | |
| | 19,630 | | | Wan Hai Lines Ltd. | | | 51,125 | |
| | 69,210 | | | Winbond Electronics Corp. | | | 52,239 | |
| | 70,000 | | | Wistron Corp. | | | 224,052 | |
| | 9,000 | | | Wiwynn Corp. | | | 541,703 | |
| | 41,760 | | | WPG Holdings Ltd. | | | 106,429 | |
| | 65,357 | | | Yageo Corp. | | | 1,353,329 | |
| | 48,000 | | | Yang Ming Marine Transport Corp. | | | 97,170 | |
| | 258,993 | | | Yuanta Financial Holding Co., Ltd. | | | 259,245 | |
| | 16,000 | | | Zhen Ding Technology Holding Ltd. | | | 68,520 | |
| | | | | | | | |
| | | | Total Taiwan | | | 77,911,396 | |
| | | | | | | | |
|
| Thailand — 0.9% | |
| | 30,100 | | | Advanced Info Service PCL, NVDR | | | 218,683 | |
| | 124,500 | | | Airports of Thailand PCL, NVDR | | | 218,844 | |
| | 67,100 | | | Asset World Corp. PCL, NVDR | | | 6,554 | |
| | 278,600 | | | Bangkok Dusit Medical Services PCL, NVDR | | | 227,300 | |
| | 232,900 | | | Bangkok Expressway & Metro PCL, NVDR | | | 52,424 | |
| | 15,000 | | | Bumrungrad Hospital PCL, NVDR | | | 108,107 | |
| | 60,900 | | | Central Pattana PCL, NVDR | | | 106,518 | |
| | 52,416 | | | Central Retail Corp. PCL, NVDR | | | 45,529 | |
| | 87,000 | | | Charoen Pokphand Foods PCL, NVDR | | | 62,974 | |
| | 146,200 | | | CP ALL PCL, NVDR | | | 260,238 | |
| | 47,400 | | | CP Axtra PCL, NVDR | | | 43,229 | |
| | 82,000 | | | Delta Electronics Thailand PCL, NVDR | | | 257,310 | |
| | 68,200 | | | Gulf Energy Development PCL, NVDR | | | 101,855 | |
| | 137,900 | | | Home Product Center PCL, NVDR | | | 36,686 | |
| | 21,950 | | | Intouch Holdings PCL, NVDR | | | 53,272 | |
| | 164,300 | | | Kasikornbank PCL | | | 692,345 | |
| | 19,700 | | | Kasikornbank PCL, NVDR | | | 82,934 | |
| | 87,300 | | | Krung Thai Bank PCL, NVDR | | | 47,017 | |
| | 22,200 | | | Krungthai Card PCL, NVDR | | | 27,323 | |
| | 91,300 | | | Minor International PCL, NVDR | | | 72,520 | |
| | 148,700 | | | PTT Exploration & Production PCL | | | 619,574 | |
| | 34,800 | | | PTT Exploration & Production PCL, NVDR | | | 145,201 | |
| | 55,700 | | | PTT Global Chemical PCL, NVDR | | | 40,989 | |
| | 98,900 | | | PTT Oil & Retail Business PCL, NVDR | | | 45,101 | |
| | 250,300 | | | PTT PCL, NVDR | | | 246,607 | |
| | 19,900 | | | SCB X PCL, NVDR | | | 62,626 | |
| | 35,400 | | | SCG Packaging PCL, NVDR | | | 25,286 | |
| | 23,000 | | | Siam Cement PCL (The), NVDR | | | 155,630 | |
| | 35,500 | | | Thai Oil PCL, NVDR | | | 55,362 | |
| | 456,700 | | | TMBThanachart Bank PCL, NVDR | | | 24,837 | |
| | 272,121 | | | True Corp. PCL, NVDR* | | | 82,477 | |
| | | | | | | | |
| | | | Total Thailand | | | 4,225,352 | |
| | | | | | | | |
See Notes to Financial Statements.
119
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Turkey — 1.0% | |
| | 78,127 | | | Akbank TAS | | $ | 134,113 | |
| | 3,481 | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 22,733 | |
| | 32,036 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 54,671 | |
| | 45,559 | | | BIM Birlesik Magazalar AS | | | 723,803 | |
| | 16,577 | | | Coca-Cola Icecek AS | | | 29,545 | |
| | 34,916 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 49,677 | |
| | 1,799 | | | Ford Otomotiv Sanayi AS | | | 51,046 | |
| | 25,546 | | | Haci Ömer Sabanci Holding AS | | | 66,142 | |
| | 19,638 | | | KOC Holding AS | | | 107,710 | |
| | 229,340 | | | MLP Saglik Hizmetleri AS, Class B Shares*(a) | | | 2,225,943 | |
| | 5,249 | | | Pegasus Hava Tasimaciligi AS* | | | 35,051 | |
| | 195,088 | | | Sasa Polyester Sanayi AS* | | | 28,247 | |
| | 443,220 | | | Sok Marketler Ticaret AS | | | 684,753 | |
| | 55,071 | | | Tofas Turk Otomobil Fabrikasi AS | | | 392,717 | |
| | 13,822 | | | Turk Hava Yollari AO* | | | 122,114 | |
| | 31,232 | | | Turkcell Iletisim Hizmetleri AS | | | 90,352 | |
| | 204,992 | | | Turkiye Is Bankasi AS, Class C Shares | | | 79,879 | |
| | 21,767 | | | Turkiye Petrol Rafinerileri AS | | | 107,926 | |
| | 28,575 | | | Turkiye Sise ve Cam Fabrikalari AS | | | 36,453 | |
| | 81,036 | | | Yapi ve Kredi Bankasi AS | | | 74,438 | |
| | | | | | | | |
| | | | Total Turkey | | | 5,117,313 | |
| | | | | | | | |
|
| United Arab Emirates — 0.6% | |
| | 76,139 | | | Abu Dhabi Commercial Bank PJSC | | | 181,684 | |
| | 41,360 | | | Abu Dhabi Islamic Bank PJSC | | | 142,193 | |
| | 119,144 | | | Abu Dhabi National Oil Co. for Distribution PJSC | | | 118,512 | |
| | 103,843 | | | Aldar Properties PJSC | | | 207,669 | |
| | 571,635 | | | Americana Restaurants International PLC — Foreign Co. | | | 452,136 | |
| | 95,087 | | | Dubai Islamic Bank PJSC | | | 159,866 | |
| | 182,118 | | | Emaar Properties PJSC | | | 418,801 | |
| | 48,384 | | | Emirates NBD Bank PJSC | | | 259,576 | |
| | 90,891 | | | Emirates Telecommunications Group Co. PJSC | | | 449,045 | |
| | 117,121 | | | First Abu Dhabi Bank PJSC | | | 427,708 | |
| | 114,981 | | | Multiply Group PJSC* | | | 66,767 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 2,883,957 | |
| | | | | | | | |
|
| United Kingdom — 0.9% | |
| | 10,538 | | | Anglogold Ashanti PLC | | | 311,359 | |
| | 37,000 | | | Bank of Georgia Group PLC | | | 2,213,877 | |
| | 600,959 | | | Helios Towers PLC* | | | 894,056 | |
| | 19,059 | | | Unilever PLC | | | 1,229,923 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 4,649,215 | |
| | | | | | | | |
|
| United States — 0.3% | |
| | 17,562 | | | BeiGene Ltd.* | | | 261,732 | |
| | 3,696 | | | EPAM Systems Inc.* | | | 742,009 | |
| | 2,673 | | | Legend Biotech Corp., ADR* | | | 153,831 | |
| | 2,705 | | | Southern Copper Corp. | | | 275,153 | |
| | | | | | | | |
| | | | Total United States | | | 1,432,725 | |
| | | | | | | | |
|
| Uruguay — 2.0% | |
| | 61,600 | | | Arcos Dorados Holdings Inc., Class A Shares | | | 542,080 | |
| | 13,047 | | | Globant SA* | | | 2,638,625 | |
| | 3,328 | | | MercadoLibre Inc.* | | | 6,861,205 | |
| | | | | | | | |
| | | | Total Uruguay | | | 10,041,910 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $389,351,401) | | | 483,047,646 | |
| | | | | | | | |
See Notes to Financial Statements.
120
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| PREFERRED STOCKS — 1.8% | |
|
| Brazil — 0.6% | |
| | 140,936 | | | Banco Bradesco SA, Class Preferred Shares | | $ | 391,194 | |
| | 5,428 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | | | 44,448 | |
| | 48,798 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 100,720 | |
| | 28,455 | | | Cia Paranaense de Energia — Copel, Class Preferred B Shares | | | 52,671 | |
| | 37,579 | | | Gerdau SA, Class Preferred Shares | | | 122,048 | |
| | 130,516 | | | Itau Unibanco Holding SA, Class Preferred Shares | | | 850,086 | |
| | 145,769 | | | Itausa SA, Class Preferred Shares | | | 283,536 | |
| | 123,033 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 859,647 | |
| | 9,738 | | | Telefonica Brasil SA, Class Preferred Shares | | | 89,574 | |
| | | | | | | | |
| | | | Total Brazil | | | 2,793,924 | |
| | | | | | | | |
|
| Chile — 0.0%@ | |
| | 3,712 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 144,625 | |
| | | | | | | | |
|
| Colombia — 0.0%@ | |
| | 11,353 | | | Bancolombia SA, Class Preferred Shares | | | 94,441 | |
| | | | | | | | |
|
| Mexico — 0.1% | |
| | 418,317 | | | Cemex SAB de CV, Class Preferred Shares | | | 254,710 | |
| | | | | | | | |
|
| Russia — 0.0%@ | |
| | 209,216 | | | Surgutneftegas PJSC, Class Preferred Shares(b)# | | | 850 | |
| | | | | | | | |
|
| South Korea — 1.1% | |
| | 940 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 130,628 | |
| | 565 | | | Hyundai Motor Co., Class Preferred Shares | | | 76,993 | |
| | 149 | | | LG Chem Ltd., Class Preferred Shares | | | 24,214 | |
| | 116,961 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 5,267,827 | |
| | | | | | | | |
| | | | Total South Korea | | | 5,499,662 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $8,619,910) | | | 8,788,212 | |
| | | | | | | | |
|
| RIGHTS — 0.0%@ | |
|
| Brazil — 0.0%@ | |
| | 1,789 | | | Equatorial Energia SA expires 9/20/24* | | | 603 | |
| | | | | | | | |
|
| Saudi Arabia — 0.0%@ | |
| | 6,631 | | | Savola Group (The) expires 9/10/24*(h) | | | 29,333 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $20,908) | | | 29,936 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $397,992,219) | | | 491,865,794 | |
| | | | | | | | |
| | |
Face Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (f) — 2.9% | |
|
| MONEY MARKET FUND — 0.7% | |
| $ | 3,648,467 | | | Invesco STIT — Government & Agency Portfolio, 5.106%, Institutional Class(g) | | | | |
| | | | (Cost — $3,648,467) | | | 3,648,467 | |
| | | | | | | | |
|
| TIME DEPOSITS — 2.2% | |
| | 14,403 | ZAR | | BBH — New York, 6.220% due 9/2/24 | | | 808 | |
| | 1,210 | HKD | | BNP Paribas — Paris, 2.020% due 9/2/24 | | | 155 | |
| | 16,162 | EUR | | Citibank — London, 2.570% due 9/2/24 | | | 17,866 | |
| | 3,528,723 | HKD | | HSBC Bank — Hong Kong, 2.020% due 9/2/24 | | | 452,525 | |
| | 6,263,994 | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | | 6,263,994 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
Face Amount† | | | Security | | Value | |
|
| TIME DEPOSITS — 2.2% — (continued) | |
| | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 11 | EUR | | 2.570% due 9/2/24 | | $ | 12 | |
| | 157 | GBP | | 3.910% due 9/2/24 | | | 207 | |
| $ | 3,942,349 | | | 4.680% due 9/3/24 | | | 3,942,349 | |
| | 77,134 | ZAR | | Standard Chartered Bank — Johannesburg, 6.220% due 9/2/24 | | | 4,327 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $10,682,243) | | | 10,682,243 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $14,330,710) | | | 14,330,710 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 101.5%
(Cost — $412,322,929) | | | 506,196,504 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (1.5)% | | | (7,345,049 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 498,851,455 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $16,016,776 and represents 3.2% of net assets. |
| (c) | All or a portion of this security is on loan (See Note 1). |
| (d) | Security trades on the Hong Kong exchange. |
| (e) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2024, amounts to $13,934 and represents less than 0.05% of net assets. |
| (f) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.2%. |
| (g) | Represents investments of collateral received from securities lending transactions. |
| (h) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| # | Security that used significant unobservable inputs to determine fair value. At August 31, 2024, the Fund held Level 3 securities with a value of $33,475, representing less than 0.05% of net assets. |
At August 31, 2024, for Emerging Markets Equity Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation | |
Emerging Markets Equity Fund | | $ | 425,265,340 | | | $ | 154,496,625 | | | $ | (79,767,387) | | | $ | 74,729,238 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| GDR | | — Global Depositary Receipt |
| NVDR | | — Non Voting Depository Receipt |
| PCL | | — Public Company Limited |
| PJSC | | — Private Joint Stock Company |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
122
| | |
| Emerging Markets Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | |
Information Technology | | | | |
Semiconductors & Semiconductor Equipment | | | 13.6 | % |
Technology Hardware, Storage & Peripherals | | | 6.3 | |
IT Services | | | 2.4 | |
Other | | | 2.2 | |
Financials | | | | |
Banks | | | 18.8 | |
Insurance | | | 2.8 | |
Consumer Finance | | | 1.1 | |
Other | | | 1.3 | |
Consumer Discretionary | | | 13.9 | |
Communication Services | | | 7.7 | |
Industrials | | | 7.2 | |
Materials | | | 5.1 | |
Energy | | | 4.9 | |
Consumer Staples | | | 4.4 | |
Health Care | | | 3.5 | |
Utilities | | | 1.4 | |
Real Estate | | | 1.3 | |
Short-Term Investments | | | 2.1 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2024, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
E-mini MSCI Emerging Markets Index Futures | | | 12 | | | | 9/24 | | | $ | 651,481 | | | $ | 660,000 | | | $ | 8,519 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2024, Emerging Markets Equity Fund had deposited cash of $45,994 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency abbreviations used in this schedule: |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
123
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 31.0% | |
|
| Advertising — 0.0%@ | |
| $ | 77,000 | | | BBB+ | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.600% due 4/15/26 | | $ | 75,656 | |
| | | | | | | | | | |
|
| Aerospace/Defense — 0.7% | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| | 510,000 | | | BBB- | | 4.875% due 5/1/25 | | | 507,953 | |
| | 1,597,000 | | | BBB- | | 2.196% due 2/4/26 | | | 1,530,709 | |
| | 50,000 | | | BBB- | | 3.100% due 5/1/26 | | | 48,363 | |
| | 70,000 | | | BBB- | | 2.700% due 2/1/27 | | | 66,375 | |
| | 480,000 | | | BBB- | | 2.800% due 3/1/27 | | | 454,837 | |
| | 130,000 | | | BBB- | | 3.200% due 3/1/29 | | | 119,960 | |
| | 100,000 | | | BBB- | | 5.150% due 5/1/30 | | | 99,779 | |
| | 50,000 | | | BBB- | | 3.625% due 2/1/31 | | | 45,293 | |
| | 100,000 | | | BBB- | | 3.600% due 5/1/34 | | | 85,356 | |
| | 50,000 | | | BBB- | | 6.528% due 5/1/34(a) | | | 53,083 | |
| | 40,000 | | | BBB- | | 3.550% due 3/1/38 | | | 30,566 | |
| | 25,000 | | | BBB- | | 3.500% due 3/1/39 | | | 18,909 | |
| | 40,000 | | | BBB- | | 3.750% due 2/1/50 | | | 27,753 | |
| | 1,730,000 | | | BBB- | | 5.805% due 5/1/50 | | | 1,638,056 | |
| | 248,000 | | | BBB- | | 3.950% due 8/1/59 | | | 167,827 | |
| | 101,000 | | | BBB- | | 5.930% due 5/1/60 | | | 95,819 | |
| | | | | | General Dynamics Corp., Company Guaranteed Notes: | | | | |
| | 350,000 | | | A | | 3.750% due 5/15/28 | | | 345,127 | |
| | 10,000 | | | A | | 4.250% due 4/1/40 | | | 9,154 | |
| | 25,000 | | | A | | 2.850% due 6/1/41 | | | 18,849 | |
| | 85,000 | | | A | | 4.250% due 4/1/50 | | | 75,002 | |
| | 50,000 | | | BBB+ | | General Electric Co., Senior Unsecured Notes, 5.875% due 1/14/38 | | | 54,000 | |
| | | | | | L3Harris Technologies Inc., Senior Unsecured Notes: | | | | |
| | 489,000 | | | BBB | | 3.850% due 12/15/26 | | | 482,451 | |
| | 388,000 | | | BBB | | 5.400% due 1/15/27 | | | 396,128 | |
| | 531,000 | | | BBB | | 4.400% due 6/15/28 | | | 528,858 | |
| | 30,000 | | | BBB | | 5.054% due 4/27/45 | | | 28,838 | |
| | 182,000 | | | BBB | | 5.600% due 7/31/53 | | | 188,219 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A- | | 3.900% due 6/15/32 | | | 87,148 | |
| | 40,000 | | | A- | | 4.500% due 5/15/36 | | | 39,373 | |
| | 50,000 | | | A- | | 4.070% due 12/15/42 | | | 44,387 | |
| | 126,000 | | | A- | | 3.800% due 3/1/45 | | | 105,943 | |
| | 50,000 | | | A- | | 4.700% due 5/15/46 | | | 47,685 | |
| | 25,000 | | | A- | | 2.800% due 6/15/50 | | | 16,822 | |
| | 50,000 | | | A- | | 4.090% due 9/15/52 | | | 42,730 | |
| | 784,000 | | | A- | | 4.150% due 6/15/53 | | | 673,827 | |
| | 25,000 | | | A- | | 5.700% due 11/15/54 | | | 27,264 | |
| | 120,000 | | | A- | | 5.200% due 2/15/64 | | | 121,357 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 2.930% due 1/15/25 | | | 9,919 | |
| | 720,000 | | | BBB+ | | 3.250% due 1/15/28 | | | 694,816 | |
| | 334,000 | | | BBB+ | | 4.700% due 3/15/33 | | | 334,991 | |
| | 64,000 | | | BBB+ | | 4.750% due 6/1/43 | | | 60,118 | |
| | 111,000 | | | BBB+ | | 4.030% due 10/15/47 | | | 93,002 | |
| | 280,000 | | | BBB+ | | 5.250% due 5/1/50 | | | 279,267 | |
| | | | | | RTX Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 3.150% due 12/15/24 | | | 69,257 | |
| | 130,000 | | | BBB+ | | 3.950% due 8/16/25 | | | 128,892 | |
| | 250,000 | | | BBB+ | | 5.750% due 11/8/26 | | | 256,487 | |
See Notes to Financial Statements.
124
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Aerospace/Defense — 0.7% — (continued) | |
| $ | 250,000 | | | BBB+ | | 3.500% due 3/15/27 | | $ | 244,674 | |
| | 337,000 | | | BBB+ | | 4.125% due 11/16/28 | | | 332,846 | |
| | 140,000 | | | BBB+ | | 5.750% due 1/15/29 | | | 147,078 | |
| | 140,000 | | | BBB+ | | 2.250% due 7/1/30 | | | 124,105 | |
| | 470,000 | | | BBB+ | | 6.000% due 3/15/31 | | | 505,827 | |
| | 116,000 | | | BBB+ | | 2.375% due 3/15/32 | | | 98,972 | |
| | 164,000 | | | BBB+ | | 6.100% due 3/15/34 | | | 178,830 | |
| | 25,000 | | | BBB+ | | 6.125% due 7/15/38 | | | 27,381 | |
| | 25,000 | | | BBB+ | | 4.450% due 11/16/38 | | | 23,309 | |
| | 660,000 | | | BBB+ | | 4.500% due 6/1/42 | | | 598,901 | |
| | 76,000 | | | BBB+ | | 3.750% due 11/1/46 | | | 60,621 | |
| | 177,000 | | | BBB+ | | 2.820% due 9/1/51 | | | 114,619 | |
| | 90,000 | | | BBB+ | | 3.030% due 3/15/52 | | | 60,861 | |
| | 100,000 | | | BBB+ | | 5.375% due 2/27/53 | | | 100,413 | |
| | | | | | TransDigm Inc., Senior Secured Notes: | | | | |
| | 240,000 | | | BB- | | 7.125% due 12/1/31(a) | | | 253,747 | |
| | 170,000 | | | BB- | | 6.625% due 3/1/32(a) | | | 176,985 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 13,299,718 | |
| | | | | | | | | | |
|
| Agriculture — 0.5% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB | | 2.350% due 5/6/25 | | | 39,305 | |
| | 20,000 | | | BBB | | 4.400% due 2/14/26 | | | 19,913 | |
| | 210,000 | | | BBB | | 6.200% due 11/1/28 | | | 222,549 | |
| | 752,000 | | | BBB | | 4.800% due 2/14/29 | | | 756,770 | |
| | 1,290,000 | | | BBB | | 2.450% due 2/4/32 | | | 1,086,496 | |
| | 669,000 | | | BBB | | 6.875% due 11/1/33 | | | 749,770 | |
| | 140,000 | | | BBB | | 5.800% due 2/14/39 | | | 144,536 | |
| | 80,000 | | | BBB | | 3.875% due 9/16/46 | | | 61,402 | |
| | 320,000 | | | BBB | | 5.950% due 2/14/49 | | | 330,434 | |
| | 52,000 | | | BBB | | 6.200% due 2/14/59 | | | 54,932 | |
| | 25,000 | | | A | | Archer-Daniels-Midland Co., Senior Unsecured Notes, 3.250% due 3/27/30 | | | 23,622 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.215% due 9/6/26 | | | 48,670 | |
| | 224,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 218,538 | |
| | 148,000 | | | BBB+ | | 2.259% due 3/25/28 | | | 136,314 | |
| | 105,000 | | | BBB+ | | 5.834% due 2/20/31 | | | 110,264 | |
| | 90,000 | | | BBB+ | | 6.000% due 2/20/34 | | | 95,009 | |
| | 50,000 | | | BBB+ | | 4.390% due 8/15/37 | | | 44,660 | |
| | 1,346,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 1,104,064 | |
| | 681,000 | | | BBB+ | | 4.758% due 9/6/49 | | | 572,464 | |
| | 208,000 | | | BBB+ | | 7.081% due 8/2/53 | | | 237,027 | |
| | | | | | BAT International Finance PLC, Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB+ | | 1.668% due 3/25/26 | | | 47,740 | |
| | 110,000 | | | BBB+ | | 4.448% due 3/16/28 | | | 109,230 | |
| | 168,000 | | | BBB+ | | 5.931% due 2/2/29 | | | 176,406 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 0.875% due 5/1/26 | | | 94,283 | |
| | 100,000 | | | A- | | 4.750% due 2/12/27 | | | 100,949 | |
| | 234,000 | | | A- | | 5.125% due 11/17/27 | | | 239,164 | |
| | 180,000 | | | A- | | 4.875% due 2/13/29 | | | 183,063 | |
| | 210,000 | | | A- | | 2.100% due 5/1/30 | | | 185,270 | |
| | 40,000 | | | A- | | 5.125% due 2/13/31 | | | 41,053 | |
| | 50,000 | | | A- | | 5.375% due 2/15/33 | | | 51,616 | |
| | 25,000 | | | A- | | 5.625% due 9/7/33 | | | 26,271 | |
See Notes to Financial Statements.
125
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Agriculture — 0.5% — (continued) | |
| $ | 1,440,000 | | | A- | | 5.250% due 2/13/34 | | $ | 1,473,848 | |
| | 25,000 | | | A- | | 6.375% due 5/16/38 | | | 28,201 | |
| | 60,000 | | | A- | | 4.500% due 3/20/42 | | | 54,511 | |
| | 25,000 | | | A- | | 3.875% due 8/21/42 | | | 20,763 | |
| | 25,000 | | | A- | | 4.125% due 3/4/43 | | | 21,303 | |
| | 25,000 | | | A- | | 4.250% due 11/10/44 | | | 21,517 | |
| | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 5.700% due 8/15/35 | | | 25,627 | |
| | 149,000 | | | BBB+ | | 5.850% due 8/15/45 | | | 146,458 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 9,104,012 | |
| | | | | | | | | | |
|
| Airlines — 0.4% | |
| | 250,000 | | | BB | | American Airlines Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | | | 260,071 | |
| | 880,000 | | | Ba1(b) | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(a) | | | 863,429 | |
| | 929,553 | | | AA- | | British Airways Class AA Pass Through Trust, Pass-Thru Certificates, 3.300% due 12/15/32(a) | | | 857,827 | |
| | 380,412 | | | A+ | | Delta Air Lines Class AA Pass Through Trust, Pass-Thru Certificates, 2.000% due 6/10/28 | | | 353,809 | |
| | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 2.900% due 10/28/24 | | | 199,083 | |
| | 210,000 | | | BB+ | | 7.375% due 1/15/26 | | | 215,117 | |
| | | | | | Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes: | | | | |
| | 95,708 | | | Baa1(b) | | 4.500% due 10/20/25(a) | | | 95,344 | |
| | 120,000 | | | Baa1(b) | | 4.750% due 10/20/28(a) | | | 118,883 | |
| | 640,000 | | | B2(b) | | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 11.000% due 4/15/29(a) | | | 652,461 | |
| | 1,386,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 1,399,784 | |
| | 95,743 | | | Caa2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 59,857 | |
| | 44,246 | | | Aa3(b) | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates, 4.150% due 8/25/31 | | | 42,168 | |
| | | | | | United Airlines Inc., Senior Secured Notes: | | | | |
| | 130,000 | | | BB+ | | 4.375% due 4/15/26(a) | | | 126,991 | |
| | 810,000 | | | BB+ | | 4.625% due 4/15/29(a) | | | 771,550 | |
| | 696,705 | | | BBB+ | | US Airways Class A Pass Through Trust, Pass-Thru Certificates, 3.950% due 11/15/25 | | | 686,144 | |
| | 500,000 | | | B- | | VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Unsecured Notes, 9.500% due 6/1/28(a) | | | 468,092 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 7,170,610 | |
| | | | | | | | | | |
|
| Apparel — 0.3% | |
| | 1,500,000 | | | BBB- | | Michael Kors USA Inc., Company Guaranteed Notes, 4.250% due 11/1/24(a) | | | 1,493,971 | |
| | | | | | NIKE Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | AA- | | 2.750% due 3/27/27 | | | 222,195 | |
| | 140,000 | | | AA- | | 2.850% due 3/27/30 | | | 130,456 | |
| | 125,000 | | | AA- | | 3.250% due 3/27/40 | | | 102,287 | |
| | 25,000 | | | AA- | | 3.875% due 11/1/45 | | | 21,198 | |
| | 270,000 | | | AA- | | 3.375% due 3/27/50 | | | 206,439 | |
| | | | | | Tapestry Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 7.000% due 11/27/26 | | | 51,587 | |
| | 2,015,000 | | | BBB | | 7.850% due 11/27/33 | | | 2,158,721 | |
| | 1,000,000 | | | BBB- | | VF Corp., Senior Unsecured Notes, 2.950% due 4/23/30 | | | 863,646 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 5,250,500 | |
| | | | | | | | | | |
See Notes to Financial Statements.
126
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Auto Manufacturers — 1.0% | |
| | | | | | American Honda Finance Corp., Senior Unsecured Notes: | | | | |
| $ | 200,000 | | | A- | | 4.950% due 1/9/26 | | $ | 201,134 | |
| | 200,000 | | | A- | | 1.300% due 9/9/26 | | | 188,267 | |
| | 100,000 | | | A- | | 2.300% due 9/9/26 | | | 96,038 | |
| | 100,000 | | | A- | | 4.900% due 3/12/27 | | | 101,420 | |
| | 840,000 | | | A | | BMW US Capital LLC, Company Guaranteed Notes, 4.850% due 8/13/31(a) | | | 842,828 | |
| | 25,000 | | | A | | Cummins Inc., Senior Unsecured Notes, 2.600% due 9/1/50 | | | 15,997 | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB- | | 3.250% due 2/12/32 | | | 127,998 | |
| | 2,090,000 | | | BBB- | | 6.100% due 8/19/32 | | | 2,149,936 | |
| | 80,000 | | | BBB- | | 4.750% due 1/15/43 | | | 66,919 | |
| | 50,000 | | | BBB- | | 5.291% due 12/8/46 | | | 45,464 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 2.700% due 8/10/26 | | | 191,073 | |
| | 200,000 | | | BBB- | | 5.800% due 3/5/27 | | | 203,054 | |
| | 500,000 | | | BBB- | | 4.950% due 5/28/27 | | | 497,473 | |
| | 460,000 | | | BBB- | | 2.900% due 2/16/28 | | | 425,790 | |
| | 220,000 | | | BBB- | | 2.900% due 2/10/29 | | | 199,248 | |
| | 1,230,000 | | | BBB- | | 5.800% due 3/8/29 | | | 1,253,964 | |
| | 840,000 | | | BBB- | | 7.350% due 3/6/30 | | | 909,766 | |
| | 1,500,000 | | | BBB- | | 7.200% due 6/10/30 | | | 1,615,368 | |
| | 200,000 | | | BBB- | | 4.000% due 11/13/30 | | | 184,542 | |
| | 330,000 | | | BBB- | | 7.122% due 11/7/33 | | | 356,955 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 330,000 | | | BBB | | 6.125% due 10/1/25 | | | 333,587 | |
| | 50,000 | | | BBB | | 5.600% due 10/15/32 | | | 51,761 | |
| | 50,000 | | | BBB | | 6.600% due 4/1/36 | | | 54,193 | |
| | 50,000 | | | BBB | | 5.150% due 4/1/38 | | | 47,992 | |
| | 300,000 | | | BBB | | 6.250% due 10/2/43 | | | 312,628 | |
| | 25,000 | | | BBB | | 5.200% due 4/1/45 | | | 23,003 | |
| | 25,000 | | | BBB | | 6.750% due 4/1/46 | | | 27,464 | |
| | 25,000 | | | BBB | | 5.400% due 4/1/48 | | | 23,472 | |
| | 50,000 | | | BBB | | 5.950% due 4/1/49 | | | 50,574 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB | | 5.250% due 3/1/26 | | | 100,474 | |
| | 200,000 | | | BBB | | 4.350% due 1/17/27 | | | 198,326 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB | | 1.250% due 1/8/26 | | | 95,445 | |
| | 100,000 | | | BBB | | 5.400% due 4/6/26 | | | 100,954 | |
| | 100,000 | | | BBB | | 1.500% due 6/10/26 | | | 94,538 | |
| | 100,000 | | | BBB | | 2.350% due 2/26/27 | | | 94,673 | |
| | 1,250,000 | | | BBB | | 5.850% due 4/6/30 | | | 1,304,493 | |
| | 50,000 | | | BBB | | 5.950% due 4/4/34 | | | 51,840 | |
| | 100,000 | | | A- | | Honda Motor Co., Ltd., Senior Unsecured Notes, 2.534% due 3/10/27 | | | 95,852 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | A- | | 5.650% due 6/26/26(a) | | | 1,522,586 | |
| | 505,000 | | | A- | | 5.300% due 3/19/27(a) | | | 512,269 | |
| | | | | | Nissan Motor Co., Ltd., Senior Unsecured Notes: | | | | |
| | 600,000 | | | BB+ | | 3.522% due 9/17/25(a) | | | 588,319 | |
| | 900,000 | | | BB+ | | 4.345% due 9/17/27(a) | | | 872,900 | |
| | | | | | Toyota Motor Credit Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A+ | | 4.800% due 1/5/26 | | | 201,066 | |
| | 200,000 | | | A+ | | 4.450% due 5/18/26 | | | 200,290 | |
| | 100,000 | | | A+ | | 1.125% due 6/18/26 | | | 94,579 | |
| | 100,000 | | | A+ | | 5.000% due 8/14/26 | | | 101,315 | |
| | 100,000 | | | A+ | | 5.400% due 11/20/26 | | | 102,232 | |
See Notes to Financial Statements.
127
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Auto Manufacturers — 1.0% — (continued) | |
| $ | 100,000 | | | A+ | | 3.200% due 1/11/27 | | $ | 97,708 | |
| | 100,000 | | | A+ | | 1.900% due 1/13/27 | | | 94,758 | |
| | 200,000 | | | A+ | | 3.050% due 3/22/27 | | | 194,487 | |
| | 1,520,000 | | | A+ | | 4.550% due 8/9/29 | | | 1,533,293 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 18,850,305 | |
| | | | | | | | | | |
|
| Auto Parts & Equipment — 0.0%@ | |
| | 25,000 | | | BBB | | Aptiv PLC, Company Guaranteed Notes, 3.100% due 12/1/51 | | | 15,927 | |
| | 25,000 | | | BBB | | Aptiv PLC/Aptiv Corp., Company Guaranteed Notes, 4.150% due 5/1/52 | | | 19,352 | |
| | 380,000 | | | BB+ | | ZF North America Capital Inc., Company Guaranteed Notes, 6.875% due 4/23/32(a) | | | 395,107 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 430,386 | |
| | | | | | | | | | |
|
| Banks — 7.7% | |
| | | | | | ABN AMRO Bank NV: | | | | |
| | 1,000,000 | EUR | | Ba1u(b) | | Junior Subordinated Notes, (Cost — $1,032,246, acquired 3/7/24), 4.750%
(5-Year EUR Swap Rate + 3.898%)(c)(d)(e) | | | 1,060,894 | |
| | 750,000 | | | BBB- | | Subordinated Notes, 4.750% due 7/28/25(a) | | | 745,891 | |
| | 505,000 | | | BBB | | AIB Group PLC, Senior Unsecured Notes, 5.871% (SOFR + 1.910%) due 3/28/35(a)(d) | | | 523,230 | |
| | 1,790,000 | | | Ba2(b) | | Banco do Brasil SA, Senior Unsecured Notes, 6.000% due 3/18/31(a) | | | 1,823,563 | |
| | 300,000 | | | B1(b) | | Banco Industrial SA, Subordinated Notes, 4.875%
(5-Year CMT Index + 4.442%) due 1/29/31(a)(d) | | | 294,060 | |
| | 1,000,000 | | | BB- | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 5.875%
(5-Year CMT Index + 4.643%)(a)(d)(e) | | | 981,457 | |
| | 1,000,000 | | | Baa2(b) | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 7.525% (5-Year CMT Index + 2.995%) due 10/1/28(a)(d) | | | 1,050,727 | |
| | 400,000 | | | A- | | Banco Santander SA, Senior Non-Preferred Notes, 2.746% due 5/28/25 | | | 393,179 | |
| | 800,000 | | | Ba3(b) | | Bancolombia SA, Subordinated Notes, 8.625%
(5-Year CMT Index + 4.320%) due 12/24/34(d) | | | 839,929 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 310,000 | | | A- | | 3.500% due 4/19/26 | | | 305,279 | |
| | 100,000 | | | A- | | 1.197% (SOFR + 1.010%) due 10/24/26(d) | | | 95,954 | |
| | 100,000 | | | A- | | 5.080% (SOFR + 1.290%) due 1/20/27(d) | | | 100,461 | |
| | 840,000 | | | A- | | 1.658% (SOFR + 0.910%) due 3/11/27(d) | | | 802,118 | |
| | 100,000 | | | A- | | 3.559% (3-Month Term SOFR + 1.322%) due 4/23/27(d) | | | 98,238 | |
| | 340,000 | | | A- | | 1.734% (SOFR + 0.960%) due 7/22/27(d) | | | 322,613 | |
| | 50,000 | | | A- | | 5.933% (SOFR + 1.340%) due 9/15/27(d) | | | 51,301 | |
| | 100,000 | | | A- | | 3.824% (3-Month Term SOFR + 1.837%) due 1/20/28(d) | | | 98,261 | |
| | 100,000 | | | A- | | 2.551% (SOFR + 1.050%) due 2/4/28(d) | | | 95,376 | |
| | 230,000 | | | A- | | 4.376% (SOFR + 1.580%) due 4/27/28(d) | | | 228,779 | |
| | 150,000 | | | A- | | 3.593% (3-Month Term SOFR + 1.632%) due 7/21/28(d) | | | 146,099 | |
| | 100,000 | | | A- | | 4.948% (SOFR + 2.040%) due 7/22/28(d) | | | 101,046 | |
| | 100,000 | | | A- | | 6.204% (SOFR + 1.990%) due 11/10/28(d) | | | 104,839 | |
| | 435,000 | | | A- | | 3.419% (3-Month Term SOFR + 1.302%) due 12/20/28(d) | | | 419,513 | |
| | 3,850,000 | | | A- | | 3.970% (3-Month Term SOFR + 1.332%) due 3/5/29(d) | | | 3,772,313 | |
| | 100,000 | | | A- | | 2.087% (SOFR + 1.060%) due 6/14/29(d) | | | 91,479 | |
| | 100,000 | | | A- | | 4.271% (3-Month Term SOFR + 1.572%) due 7/23/29(d) | | | 98,966 | |
| | 841,000 | | | A- | | 5.819% (SOFR + 1.570%) due 9/15/29(d) | | | 878,648 | |
| | 659,000 | | | A- | | 3.974% (3-Month Term SOFR + 1.472%) due 2/7/30(d) | | | 641,382 | |
| | 383,000 | | | A- | | 2.592% (SOFR + 2.150%) due 4/29/31(d) | | | 343,591 | |
| | 685,000 | | | A- | | 1.922% (SOFR + 1.370%) due 10/24/31(d) | | | 583,161 | |
| | 690,000 | | | A- | | 2.687% (SOFR + 1.320%) due 4/22/32(d) | | | 606,597 | |
| | 305,000 | | | A- | | 2.299% (SOFR + 1.220%) due 7/21/32(d) | | | 259,831 | |
| | 600,000 | | | A- | | 2.572% (SOFR + 1.210%) due 10/20/32(d) | | | 518,191 | |
| | 1,552,000 | | | A- | | 2.972% (SOFR + 1.330%) due 2/4/33(d) | | | 1,369,423 | |
| | 3,990,000 | | | A- | | 4.571% (SOFR + 1.830%) due 4/27/33(d) | | | 3,907,215 | |
See Notes to Financial Statements.
128
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 911,000 | | | A- | | 5.872% (SOFR + 1.840%) due 9/15/34(d) | | $ | 969,291 | |
| | 355,000 | | | A- | | 5.468% (SOFR + 1.650%) due 1/23/35(d) | | | 367,813 | |
| | 250,000 | | | A- | | 4.244% (3-Month Term SOFR + 2.076%) due 4/24/38(d) | | | 232,100 | |
| | 250,000 | | | A- | | 2.676% (SOFR + 1.930%) due 6/19/41(d) | | | 183,139 | |
| | 200,000 | | | A- | | 3.311% (SOFR + 1.580%) due 4/22/42(d) | | | 158,384 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 239,556 | |
| | 400,000 | | | A- | | 4.330% (3-Month Term SOFR + 1.782%) due 3/15/50(d) | | | 352,925 | |
| | 300,000 | | | A- | | 4.083% (3-Month Term SOFR + 3.412%) due 3/20/51(d) | | | 253,262 | |
| | 50,000 | | | A- | | 2.831% (SOFR + 1.880%) due 10/24/51(d) | | | 33,630 | |
| | | | | | Subordinated Notes: | | | | |
| | 450,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 447,569 | |
| | 140,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 139,556 | |
| | 120,000 | | | BBB+ | | 4.250% due 10/22/26 | | | 119,393 | |
| | 100,000 | | | BBB+ | | 4.183% due 11/25/27 | | | 99,043 | |
| | 1,690,000 | | | BBB+ | | 5.425% (SOFR + 1.913%) due 8/15/35(d) | | | 1,695,227 | |
| | 1,070,000 | | | BBB | | Bank of Ireland Group PLC, Senior Unsecured Notes, 5.601%
(SOFR + 1.620%) due 3/20/30(a)(d) | | | 1,095,325 | |
| | | | | | Bank of Montreal: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 1.850% due 5/1/25 | | | 39,212 | |
| | 100,000 | | | A- | | 5.300% due 6/5/26 | | | 101,402 | |
| | 100,000 | | | A- | | 2.650% due 3/8/27 | | | 96,063 | |
| | 50,000 | | | BBB+ | | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(d) | | | 48,165 | |
| | | | | | Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 1.600% due 4/24/25 | | | 88,175 | |
| | 100,000 | | | A | | 2.450% due 8/17/26 | | | 96,477 | |
| | 50,000 | | | A | | 1.050% due 10/15/26 | | | 46,748 | |
| | 50,000 | | | A | | 4.947% (SOFR + 1.026%) due 4/26/27(d) | | | 50,285 | |
| | 390,000 | | | A | | 4.289% (SOFR + 1.418%) due 6/13/33(d) | | | 377,285 | |
| | 50,000 | | | A | | 4.967% (SOFR + 1.606%) due 4/26/34(d) | | | 50,467 | |
| | | | | | Bank of Nova Scotia (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | A- | | 1.300% due 6/11/25 | | | 9,734 | |
| | 100,000 | | | A- | | 2.700% due 8/3/26 | | | 96,775 | |
| | 100,000 | | | A- | | 1.950% due 2/2/27 | | | 94,505 | |
| | 50,000 | | | A- | | 2.951% due 3/11/27 | | | 48,334 | |
| | 180,000 | | | BBB+ | | Subordinated Notes, 4.588% (5-Year CMT Index + 2.050%) due 5/4/37(d) | | | 168,966 | |
| | | | | | Barclays PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 4.375% due 1/12/26 | | | 198,883 | |
| | 820,000 | | | BBB+ | | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(d) | | | 822,786 | |
| | 200,000 | | | BBB+ | | 6.490% (SOFR + 2.220%) due 9/13/29(d) | | | 211,946 | |
| | 200,000 | | | BBB+ | | 2.894% (1-Year CMT Index + 1.300%) due 11/24/32(d) | | | 172,642 | |
| | 200,000 | | | BBB- | | Subordinated Notes, 5.200% due 5/12/26 | | | 200,598 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 900,000 | | | BBB- | | 7.750% (5-Year CMT Index + 4.899%)(a)(d)(e) | | | 937,565 | |
| | 420,000 | | | BBB- | | 8.000% (5-Year CMT Index + 3.727%)(a)(d)(e) | | | 443,021 | |
| | 470,000 | | | BBB- | | 8.500% (5-Year CMT Index + 4.354%)(a)(d)(e) | | | 499,176 | |
| | | | | | Senior Non-Preferred Notes: | | | | |
| | 220,000 | | | A- | | 2.219% (SOFR + 2.074%) due 6/9/26(a)(d) | | | 214,957 | |
| | 950,000 | | | A- | | 4.400% due 8/14/28(a) | | | 941,929 | |
| | 200,000 | | | A- | | 2.871% (3-Month Term SOFR + 1.387%) due 4/19/32(a)(d) | | | 175,213 | |
| | | | | | Senior Preferred Notes: | | | | |
| | 880,000 | | | A+ | | 5.125% (1-Year CMT Index + 1.450%) due 1/13/29(a)(d) | | | 894,480 | |
See Notes to Financial Statements.
129
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 600,000 | | | A+ | | 5.894% (SOFR + 1.866%) due 12/5/34(a)(d) | | $ | 637,001 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(d) | | | 193,799 | |
| | 1,800,000 | EUR | | BBB- | | CaixaBank SA, Subordinated Notes, (Cost — $2,073,645, acquired 3/7/24), 6.250%
(5-Year EUR Swap Rate + 3.550%) due 2/23/33(c)(d) | | | 2,121,060 | |
| | 100,000 | | | A- | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 5.926% due 10/2/26 | | | 102,828 | |
| | | | | | Citigroup Inc.: | | | | |
| | 220,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month Term SOFR + 4.167%)(d)(e) | | | 220,155 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 4.658% (SOFR + 1.887%) due 5/24/28(d) | | | 70,270 | |
| | 2,540,000 | | | BBB+ | | 3.520% (3-Month Term SOFR + 1.413%) due 10/27/28(d) | | | 2,461,416 | |
| | 100,000 | | | BBB+ | | 3.980% (3-Month Term SOFR + 1.600%) due 3/20/30(d) | | | 97,121 | |
| | 550,000 | | | BBB+ | | 4.412% (SOFR + 3.914%) due 3/31/31(d) | | | 541,175 | |
| | 70,000 | | | BBB+ | | 2.572% (SOFR + 2.107%) due 6/3/31(d) | | | 62,290 | |
| | 690,000 | | | BBB+ | | 2.561% (SOFR + 1.167%) due 5/1/32(d) | | | 598,212 | |
| | 160,000 | | | BBB+ | | 2.520% (SOFR + 1.177%) due 11/3/32(d) | | | 136,836 | |
| | 250,000 | | | BBB+ | | 3.785% (SOFR + 1.939%) due 3/17/33(d) | | | 230,988 | |
| | 220,000 | | | BBB+ | | 4.910% (SOFR + 2.086%) due 5/24/33(d) | | | 219,055 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 179,933 | |
| | 70,000 | | | BBB+ | | 4.650% due 7/23/48 | | | 64,005 | |
| | | | | | Subordinated Notes: | | | | |
| | 210,000 | | | BBB | | 4.400% due 6/10/25 | | | 208,715 | |
| | 20,000 | | | BBB | | 5.500% due 9/13/25 | | | 20,105 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 884,388 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 32,932 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 114,718 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 281,892 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 27,196 | |
| | 50,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | | | 48,081 | |
| | 58,000 | | | AA- | | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | | | 48,791 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | 860,000 | | | BBB+ | | Company Guaranteed Notes, 4.375% due 8/4/25 | | | 854,167 | |
| | | | | | Senior Non-Preferred Notes: | | | | |
| | 250,000 | | | A- | | 3.649% (1-Year CMT Index + 1.220%) due 4/6/28(a)(d) | | | 243,775 | |
| | 270,000 | | | A- | | 3.758% (1-Year CMT Index + 1.420%) due 4/6/33(a)(d) | | | 249,267 | |
| | | | | | Credit Agricole SA: | | | | |
| | 1,000,000 | EUR | | BBB- | | (Cost — $1,147,706, acquired 3/6/24), Junior Subordinated Notes, 7.250%
(5-Year EURIBOR ICE Swap + 4.441%)(c)(d)(e) | | | 1,172,322 | |
| | 500,000 | | | A- | | Senior Non-Preferred Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(d) | | | 487,408 | |
| | 760,000 | | | WD(f) | | Credit Suisse Group AG, (Cost — $760,000, acquired 6/16/22), Junior Subordinated Notes, 9.750% (5-Year CMT Index + 6.383%)(a)(c)(d)(e)(g)# | | | — | |
| | | | | | Danske Bank AS, Senior Non-Preferred Notes: | | | | |
| | 2,500,000 | | | BBB+ | | 4.298% (1-Year CMT Index + 1.750%) due 4/1/28(a)(d) | | | 2,472,176 | |
| | 1,250,000 | | | BBB+ | | 5.705% (1-Year CMT Index + 1.400%) due 3/1/30(a)(d) | | | 1,291,091 | |
| | 200,000 | | | BBB- | | Deutsche Bank AG, Subordinated Notes, 3.742% (SOFR + 2.257%) due 1/7/33(d) | | | 171,453 | |
| | | | | | Federation des Caisses Desjardins du Quebec, Senior Unsecured Notes: | | | | |
| | 2,200,000 | | | A- | | 5.700% due 3/14/28(a) | | | 2,260,903 | |
| | 1,335,000 | | | A- | | 5.250% due 4/26/29(a) | | | 1,364,739 | |
| | 100,000 | | | BBB+ | | Fifth Third Bancorp, Senior Unsecured Notes, 2.550% due 5/5/27 | | | 94,910 | |
| | 25,000 | | | A+ | | Goldman Sachs Bank USA, Senior Unsecured Notes, 5.414%
(SOFR + 0.750%) due 5/21/27(d) | | | 25,291 | |
| | 11,000 | | | BB+ | | Goldman Sachs Capital II, Limited Guaranteed Notes, 6.045%
(3-Month Term SOFR + 1.029%)(d)(e) | | | 9,319 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.500% due 4/1/25 | | | 9,905 | |
See Notes to Financial Statements.
130
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 250,000 | | | BBB+ | | 3.500% due 11/16/26 | | $ | 244,467 | |
| | 100,000 | | | BBB+ | | 1.093% (SOFR + 0.789%) due 12/9/26(d) | | | 95,213 | |
| | 100,000 | | | BBB+ | | 3.850% due 1/26/27 | | | 98,577 | |
| | 100,000 | | | BBB+ | | 1.431% (SOFR + 0.798%) due 3/9/27(d) | | | 94,982 | |
| | 570,000 | | | BBB+ | | 1.542% (SOFR + 0.818%) due 9/10/27(d) | | | 535,260 | |
| | 70,000 | | | BBB+ | | 3.615% (SOFR + 1.846%) due 3/15/28(d) | | | 68,354 | |
| | 891,000 | | | BBB+ | | 3.814% (3-Month Term SOFR + 1.420%) due 4/23/29(d) | | | 866,169 | |
| | 2,494,000 | | | BBB+ | | 4.223% (3-Month Term SOFR + 1.563%) due 5/1/29(d) | | | 2,459,842 | |
| | 374,000 | | | BBB+ | | 6.484% (SOFR + 1.770%) due 10/24/29(d) | | | 399,344 | |
| | 57,000 | | | BBB+ | | 1.992% (SOFR + 1.090%) due 1/27/32(d) | | | 47,960 | |
| | 984,000 | | | BBB+ | | 2.615% (SOFR + 1.281%) due 4/22/32(d) | | | 856,436 | |
| | 1,950,000 | | | BBB+ | | 2.383% (SOFR + 1.248%) due 7/21/32(d) | | | 1,662,052 | |
| | 1,538,000 | | | BBB+ | | 2.650% (SOFR + 1.264%) due 10/21/32(d) | | | 1,328,762 | |
| | 484,000 | | | BBB+ | | 6.561% (SOFR + 1.950%) due 10/24/34(d) | | | 537,539 | |
| | 50,000 | | | BBB+ | | 4.017% (3-Month Term SOFR + 1.635%) due 10/31/38(d) | | | 44,349 | |
| | 50,000 | | | BBB+ | | 4.411% (3-Month Term SOFR + 1.692%) due 4/23/39(d) | | | 46,288 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 234,834 | |
| | 530,000 | | | BBB+ | | 3.210% (SOFR + 1.513%) due 4/22/42(d) | | | 411,137 | |
| | 70,000 | | | BBB+ | | 2.908% (SOFR + 1.472%) due 7/21/42(d) | | | 51,780 | |
| | 400,000 | | | BBB+ | | 3.436% (SOFR + 1.632%) due 2/24/43(d) | | | 317,395 | |
| | 100,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 94,856 | |
| | | | | | Subordinated Notes: | | | | |
| | 130,000 | | | BBB | | 4.250% due 10/21/25 | | | 129,093 | |
| | 460,000 | | | BBB | | 6.750% due 10/1/37 | | | 519,158 | |
| | 290,000 | | | BBB | | 5.150% due 5/22/45 | | | 285,810 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 685,000 | | | A- | | 2.099% (SOFR + 1.929%) due 6/4/26(d) | | | 669,049 | |
| | 200,000 | | | A- | | 4.292% (3-Month Term SOFR + 1.609%) due 9/12/26(d) | | | 198,522 | |
| | 200,000 | | | A- | | 4.583% (3-Month Term SOFR + 1.796%) due 6/19/29(d) | | | 198,586 | |
| | 200,000 | | | A- | | 5.402% (SOFR + 2.870%) due 8/11/33(d) | | | 205,111 | |
| | 200,000 | | | A- | | 6.254% (SOFR + 2.390%) due 3/9/34(d) | | | 215,284 | |
| | 200,000 | | | A- | | 6.332% (SOFR + 2.650%) due 3/9/44(d) | | | 219,761 | |
| | | | | | Subordinated Notes: | | | | |
| | 220,000 | | | BBB | | 4.762% (SOFR + 2.530%) due 3/29/33(d) | | | 212,448 | |
| | 200,000 | | | BBB | | 6.547% (SOFR + 2.980%) due 6/20/34(d) | | | 213,894 | |
| | 290,000 | | | BBB | | 6.500% due 9/15/37 | | | 313,373 | |
| | 200,000 | | | A- | | HSBC USA Inc., Senior Unsecured Notes, 5.294% due 3/4/27 | | | 203,828 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,080,000 | | | A- | | 1.561% (SOFR + 0.605%) due 12/10/25(d) | | | 1,068,508 | |
| | 80,000 | | | A- | | 2.083% (SOFR + 1.850%) due 4/22/26(d) | | | 78,495 | |
| | 200,000 | | | A- | | 1.045% (SOFR + 0.800%) due 11/19/26(d) | | | 191,044 | |
| | 2,245,000 | | | A- | | 1.578% (SOFR + 0.885%) due 4/22/27(d) | | | 2,136,688 | |
| | 560,000 | | | A- | | 1.470% (SOFR + 0.765%) due 9/22/27(d) | | | 526,009 | |
| | 464,000 | | | A- | | 6.070% (SOFR + 1.330%) due 10/22/27(d) | | | 479,192 | |
| | 480,000 | | | A- | | 4.203% (3-Month Term SOFR + 1.522%) due 7/23/29(d) | | | 474,179 | |
| | 53,000 | | | A- | | 5.299% (SOFR + 1.450%) due 7/24/29(d) | | | 54,398 | |
| | 1,110,000 | | | A- | | 4.452% (3-Month Term SOFR + 1.592%) due 12/5/29(d) | | | 1,105,960 | |
| | 3,782,000 | | | A- | | 5.012% (SOFR + 1.310%) due 1/23/30(d) | | | 3,848,441 | |
| | 1,956,000 | | | A- | | 4.565% (SOFR + 1.750%) due 6/14/30(d) | | | 1,957,122 | |
| | 1,875,000 | | | A- | | 2.739% (3-Month Term SOFR + 1.510%) due 10/15/30(d) | | | 1,717,137 | |
| | 150,000 | | | A- | | 2.522% (SOFR + 2.040%) due 4/22/31(d) | | | 134,638 | |
| | 2,385,000 | | | A- | | 2.580% (3-Month Term SOFR + 1.250%) due 4/22/32(d) | | | 2,089,516 | |
| | 1,200,000 | | | A- | | 2.545% (SOFR + 1.180%) due 11/8/32(d) | | | 1,038,729 | |
See Notes to Financial Statements.
131
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 1,772,000 | | | A- | | 5.350% (SOFR + 1.845%) due 6/1/34(d) | | $ | 1,830,087 | |
| | 970,000 | | | A- | | 5.294% (SOFR + 1.460%) due 7/22/35(d) | | | 996,320 | |
| | 50,000 | | | A- | | 3.882% (3-Month Term SOFR + 1.622%) due 7/24/38(d) | | | 44,663 | |
| | 20,000 | | | A- | | 3.964% (3-Month Term SOFR + 1.642%) due 11/15/48(d) | | | 16,808 | |
| | 50,000 | | | A- | | 3.109% (SOFR + 2.440%) due 4/22/51(d) | | | 36,083 | |
| | | | | | Subordinated Notes: | | | | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 269,903 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 209,658 | |
| | 630,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 618,149 | |
| | 800,000 | EUR | | BB+ | | KBC Group NV, Junior Subordinated Notes, (Cost — $940,004, acquired 3/8/24), 8.000% (5-Year EURIBOR ICE Swap + 4.928%)(c)(d)(e) | | | 959,993 | |
| | | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes: | | | | |
| | 200,000 | | | AAA | | 4.625% due 8/7/26 | | | 202,295 | |
| | 200,000 | | | AAA | | 3.750% due 2/15/28 | | | 199,634 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | 1,500,000 | | | BB- | | Junior Subordinated Notes, 6.750% (5-Year CMT Index + 4.815%)(d)(e) | | | 1,509,693 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.750% due 1/11/27 | | | 196,197 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 198,559 | |
| | 200,000 | | | BBB+ | | 5.679% (1-Year CMT Index + 1.750%) due 1/5/35(d) | | | 206,924 | |
| | 445,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 441,705 | |
| | 870,000 | | | BBB+ | | Macquarie Bank Ltd., Subordinated Notes, 3.052%
(5-Year CMT Index + 1.700%) due 3/3/36(a)(d) | | | 752,727 | |
| | 200,000 | | | A- | | Mizuho Financial Group Inc., Senior Unsecured Notes, 2.839% due 9/13/26 | | | 193,413 | |
| | | | | | National Australia Bank Ltd.: | | | | |
| | 250,000 | | | AA- | | Senior Unsecured Notes, 3.375% due 1/14/26 | | | 246,404 | |
| | 1,750,000 | | | A- | | Subordinated Notes, 3.347% (5-Year CMT Index + 1.700%) due 1/12/37(a)(d) | | | 1,530,251 | |
| | 250,000 | | | AA+ | | National Securities Clearing Corp., Senior Unsecured Notes, 1.500% due 4/23/25(a) | | | 244,740 | |
| | | | | | NatWest Group PLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 4.800% due 4/5/26 | | | 200,050 | |
| | 200,000 | | | BBB+ | | 5.847% (1-Year CMT Index + 1.350%) due 3/2/27(d) | | | 202,945 | |
| | 400,000 | | | BBB+ | | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(d) | | | 404,843 | |
| | 1,500,000 | | | BBB+ | | 5.778% (1-Year CMT Index + 1.500%) due 3/1/35(d) | | | 1,570,216 | |
| | 1,000,000 | | | A | | NatWest Markets PLC, Senior Unsecured Notes, 1.600% due 9/29/26(a) | | | 939,596 | |
| | | | | | PNC Financial Services Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 5.812% (SOFR + 1.322%) due 6/12/26(d) | | | 30,152 | |
| | 100,000 | | | A- | | 2.600% due 7/23/26 | | | 96,475 | |
| | 100,000 | | | A- | | 4.758% (SOFR + 1.085%) due 1/26/27(d) | | | 99,881 | |
| | 420,000 | | | A- | | 5.582% (SOFR + 1.841%) due 6/12/29(d) | | | 433,935 | |
| | 50,000 | | | A- | | 2.550% due 1/22/30 | | | 45,467 | |
| | 50,000 | | | A- | | 5.068% (SOFR + 1.933%) due 1/24/34(d) | | | 50,051 | |
| | 50,000 | | | A- | | 5.676% (SOFR + 1.902%) due 1/22/35(d) | | | 52,220 | |
| | 25,000 | | | A- | | 5.401% (SOFR + 1.599%) due 7/23/35(d) | | | 25,626 | |
| | 1,200,000 | EUR | | Baa2(b) | | Raiffeisen Bank International AG, Subordinated Notes, (Cost — $1,364,437, acquired 6/7/24), 7.375% (5-Year EURIBOR ICE Swap + 5.200%) due 12/20/32(c)(d) | | | 1,410,543 | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| | 10,000 | | | A | | 1.150% due 6/10/25 | | | 9,725 | |
| | 100,000 | | | A | | 5.200% due 7/20/26 | | | 101,495 | |
| | 100,000 | | | A | | 1.400% due 11/2/26 | | | 93,987 | |
| | 100,000 | | | A | | 4.875% due 1/19/27 | | | 101,186 | |
| | 100,000 | | | A | | 4.950% due 2/1/29 | | | 102,343 | |
| | 250,000 | | | A | | 3.875% due 5/4/32 | | | 237,676 | |
| | 260,000 | | | A | | 5.150% due 2/1/34 | | | 266,725 | |
| | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 4.500% due 7/17/25 | | | 29,802 | |
See Notes to Financial Statements.
132
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 89,000 | | | BBB+ | | 6.174% (SOFR + 2.500%) due 1/9/30(d) | | $ | 92,290 | |
| | 1,500,000 | | | BBB+ | | 7.660% (SOFR + 3.280%) due 11/9/31(d) | | | 1,675,272 | |
| | 200,000 | | | BBB | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 6.833%
(SOFR + 2.749%) due 11/21/26(d) | | | 203,989 | |
| | | | | | State Street Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 2.650% due 5/19/26 | | | 97,170 | |
| | 100,000 | | | A | | 5.684% (SOFR + 1.484%) due 11/21/29(d) | | | 104,788 | |
| | 50,000 | | | A | | 4.164% (SOFR + 1.726%) due 8/4/33(d) | | | 48,141 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 5.880% due 7/13/26 | | | 204,535 | |
| | 200,000 | | | A- | | 3.446% due 1/11/27 | | | 195,442 | |
| | 200,000 | | | A- | | 2.174% due 1/14/27 | | | 189,569 | |
| | 200,000 | | | A- | | 2.130% due 7/8/30 | | | 173,919 | |
| | | | | | Toronto-Dominion Bank (The), Senior Unsecured Notes: | | | | |
| | 210,000 | | | A | | 1.150% due 6/12/25 | | | 204,228 | |
| | 100,000 | | | A | | 1.250% due 9/10/26 | | | 93,988 | |
| | 100,000 | | | A | | 1.950% due 1/12/27 | | | 94,936 | |
| | 100,000 | | | A | | 2.800% due 3/10/27 | | | 96,213 | |
| | 540,000 | | | A | | 4.456% due 6/8/32 | | | 528,481 | |
| | | | | | Truist Financial Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 5.900% (SOFR + 1.626%) due 10/28/26(d) | | | 101,022 | |
| | 100,000 | | | A- | | 1.267% (SOFR + 0.609%) due 3/2/27(d) | | | 94,577 | |
| | 30,000 | | | A- | | 6.047% (SOFR + 2.050%) due 6/8/27(d) | | | 30,631 | |
| | 50,000 | | | A- | | 5.122% (SOFR + 1.852%) due 1/26/34(d) | | | 49,714 | |
| | | | | | UBS AG, Senior Unsecured Notes: | | | | |
| | 1,450,000 | | | A+ | | 7.950% due 1/9/25 | | | 1,461,762 | |
| | 250,000 | | | A+ | | 2.950% due 4/9/25 | | | 246,859 | |
| | 250,000 | | | A+ | | 5.000% due 7/9/27 | | | 253,553 | |
| | 2,135,000 | | | A+ | | 7.500% due 2/15/28 | | | 2,331,028 | |
| | | | | | UBS Group AG: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 250,000 | | | BB | | 4.875% (5-Year CMT Index + 3.404%)(a)(d)(e) | | | 239,025 | |
| | 200,000 | | | BB | | 7.750% (5-Year USD SOFR ICE Swap Rate + 4.160%)(a)(d)(e) | | | 210,125 | |
| | 890,000 | | | BB | | 9.250% (5-Year CMT Index + 4.745%)(a)(d)(e) | | | 983,506 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 155,000 | | | A- | | 2.593% (SOFR + 1.560%) due 9/11/25(a)(d) | | | 154,900 | |
| | 320,000 | | | A- | | 4.550% due 4/17/26 | | | 319,021 | |
| | 370,000 | | | A- | | 2.193% (SOFR + 2.044%) due 6/5/26(a)(d) | | | 361,896 | |
| | 295,000 | | | A- | | 6.373% (SOFR + 3.340%) due 7/15/26(a)(d) | | | 298,139 | |
| | 960,000 | | | A- | | 1.305% (SOFR + 0.980%) due 2/2/27(a)(d) | | | 911,919 | |
| | 2,000,000 | | | A- | | 1.494% (1-Year CMT Index + 0.850%) due 8/10/27(a)(d) | | | 1,875,748 | |
| | 500,000 | | | A- | | 4.751% (1-Year CMT Index + 1.750%) due 5/12/28(a)(d) | | | 500,125 | |
| | 950,000 | | | A- | | 4.194% (SOFR + 3.730%) due 4/1/31(a)(d) | | | 918,293 | |
| | 1,915,000 | | | A- | | 3.091% (SOFR + 1.730%) due 5/14/32(a)(d) | | | 1,696,320 | |
| | 250,000 | | | A- | | 9.016% (SOFR + 5.020%) due 11/15/33(a)(d) | | | 311,265 | |
| | 360,000 | | | BB+ | | UniCredit SpA, Subordinated Notes, 5.459%
(5-Year CMT Index + 4.750%) due 6/30/35(a)(d) | | | 351,734 | |
| | | | | | US Bancorp: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 1.450% due 5/12/25 | | | 87,973 | |
| | 200,000 | | | A | | 3.950% due 11/17/25 | | | 198,405 | |
| | 100,000 | | | A | | 2.375% due 7/22/26 | | | 96,607 | |
| | 350,000 | | | A | | 5.850% (SOFR + 2.090%) due 10/21/33(d) | | | 367,991 | |
| | 1,415,000 | | | A | | 4.839% (SOFR + 1.600%) due 2/1/34(d) | | | 1,392,540 | |
| | 885,000 | | | A | | 5.678% (SOFR + 1.860%) due 1/23/35(d) | | | 921,472 | |
See Notes to Financial Statements.
133
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 7.7% — (continued) | |
| $ | 100,000 | | | A- | | Subordinated Notes, 3.100% due 4/27/26 | | $ | 97,568 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 50,000 | | | BB+ | | Junior Subordinated Notes, 5.875%(d)(e) | | | 49,774 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,292,000 | | | BBB+ | | 2.164% (3-Month Term SOFR + 1.012%) due 2/11/26(d) | | | 1,274,473 | |
| | 250,000 | | | BBB+ | | 3.000% due 4/22/26 | | | 244,082 | |
| | 1,000,000 | | | BBB+ | | 3.908% (SOFR + 1.320%) due 4/25/26(d) | | | 991,541 | |
| | 20,000 | | | BBB+ | | 2.188% (SOFR + 2.000%) due 4/30/26(d) | | | 19,607 | |
| | 750,000 | | | BBB+ | | 3.000% due 10/23/26 | | | 728,507 | |
| | 510,000 | | | BBB+ | | 2.393% (SOFR + 2.100%) due 6/2/28(d) | | | 481,070 | |
| | 490,000 | | | BBB+ | | 4.150% due 1/24/29 | | | 484,562 | |
| | 1,010,000 | | | BBB+ | | 5.574% (SOFR + 1.740%) due 7/25/29(d) | | | 1,043,272 | |
| | 511,000 | | | BBB+ | | 6.303% (SOFR + 1.790%) due 10/23/29(d) | | | 542,185 | |
| | 103,000 | | | BBB+ | | 2.572% (3-Month Term SOFR + 1.262%) due 2/11/31(d) | | | 92,444 | |
| | 100,000 | | | BBB+ | | 4.478% (3-Month Term SOFR + 4.032%) due 4/4/31(d) | | | 99,012 | |
| | 3,260,000 | | | BBB+ | | 3.350% (SOFR + 1.500%) due 3/2/33(d) | | | 2,935,596 | |
| | 625,000 | | | BBB+ | | 5.389% (SOFR + 2.020%) due 4/24/34(d) | | | 639,739 | |
| | 1,263,000 | | | BBB+ | | 5.557% (SOFR + 1.990%) due 7/25/34(d) | | | 1,304,795 | |
| | 140,000 | | | BBB+ | | 6.491% (SOFR + 2.060%) due 10/23/34(d) | | | 154,363 | |
| | 300,000 | | | BBB+ | | 3.068% (SOFR + 2.530%) due 4/30/41(d) | | | 229,815 | |
| | 3,310,000 | | | BBB+ | | 5.013% (3-Month Term SOFR + 4.502%) due 4/4/51(d) | | | 3,181,905 | |
| | 200,000 | | | BBB+ | | 4.611% (SOFR + 2.130%) due 4/25/53(d) | | | 181,708 | |
| | | | | | Subordinated Notes: | | | | |
| | 230,000 | | | BBB | | 5.375% due 11/2/43 | | | 228,265 | |
| | 110,000 | | | BBB | | 5.606% due 1/15/44 | | | 111,648 | |
| | 20,000 | | | BBB | | 4.650% due 11/4/44 | | | 17,891 | |
| | 20,000 | | | BBB | | 4.900% due 11/17/45 | | | 18,380 | |
| | 40,000 | | | BBB | | 4.400% due 6/14/46 | | | 34,099 | |
| | 10,000 | | | BBB | | 4.750% due 12/7/46 | | | 8,972 | |
| | | | | | Wells Fargo Bank NA, Senior Unsecured Notes: | | | | |
| | 358,000 | | | A+ | | 5.450% due 8/7/26 | | | 364,739 | |
| | 250,000 | | | A+ | | 5.254% due 12/11/26 | | | 254,871 | |
| | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | AA- | | 1.150% due 6/3/26 | | | 94,657 | |
| | 100,000 | | | AA- | | 2.700% due 8/19/26 | | | 96,962 | |
| | 100,000 | | | AA- | | 3.350% due 3/8/27 | | | 97,894 | |
| | 50,000 | | | AA- | | 2.150% due 6/3/31 | | | 43,371 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 142,880,886 | |
| | | | | | | | | | |
|
| Beverages — 0.2% | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 125,000 | | | A- | | 4.700% due 2/1/36 | | | 123,763 | |
| | 1,140,000 | | | A- | | 4.900% due 2/1/46 | | | 1,097,976 | |
| | 50,000 | | | A- | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 4.900% due 2/1/46 | | | 47,993 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 240,000 | | | A- | | 4.750% due 1/23/29 | | | 244,566 | |
| | 260,000 | | | A- | | 3.500% due 6/1/30 | | | 249,843 | |
| | 50,000 | | | A- | | 4.375% due 4/15/38 | | | 47,453 | |
| | 50,000 | | | A- | | 5.450% due 1/23/39 | | | 52,678 | |
| | 210,000 | | | A- | | 4.350% due 6/1/40 | | | 194,262 | |
| | 25,000 | | | A- | | 4.950% due 1/15/42 | | | 24,603 | |
| | 50,000 | | | A- | | 4.600% due 4/15/48 | | | 46,490 | |
| | 100,000 | | | A- | | 4.439% due 10/6/48 | | | 89,827 | |
| | 260,000 | | | A- | | 5.550% due 1/23/49 | | | 273,235 | |
| | 50,000 | | | A- | | 4.750% due 4/15/58 | | | 47,006 | |
| | 50,000 | | | A- | | 5.800% due 1/23/59 | | | 55,095 | |
See Notes to Financial Statements.
134
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Beverages — 0.2% — (continued) | |
| | | | | | Coca-Cola Co. (The), Senior Unsecured Notes: | | | | |
| $ | 100,000 | | | A+ | | 3.375% due 3/25/27 | | $ | 98,434 | |
| | 50,000 | | | A+ | | 5.000% due 5/13/34 | | | 51,983 | |
| | 240,000 | | | A+ | | 2.500% due 6/1/40 | | | 177,299 | |
| | 85,000 | | | A+ | | 2.600% due 6/1/50 | | | 55,859 | |
| | 25,000 | | | A+ | | 3.000% due 3/5/51 | | | 17,926 | |
| | 50,000 | | | A+ | | 2.500% due 3/15/51 | | | 32,071 | |
| | 50,000 | | | A+ | | 5.300% due 5/13/54 | | | 52,038 | |
| | 25,000 | | | A+ | | 5.400% due 5/13/64 | | | 25,930 | |
| | | | | | Constellation Brands Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB | | 3.700% due 12/6/26 | | | 98,240 | |
| | 25,000 | | | BBB | | 5.250% due 11/15/48 | | | 24,316 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB | | 4.350% due 5/9/27 | | | 129,541 | |
| | 30,000 | | | BBB | | 2.250% due 8/1/31 | | | 25,608 | |
| | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB | | 3.800% due 5/1/50 | | | 19,700 | |
| | 25,000 | | | BBB | | 3.350% due 3/15/51 | | | 18,058 | |
| | 50,000 | | | BBB | | Molson Coors Beverage Co., Company Guaranteed Notes, 4.200% due 7/15/46 | | | 42,055 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 2.375% due 10/6/26 | | | 96,599 | |
| | 120,000 | | | A+ | | 2.625% due 3/19/27 | | | 115,725 | |
| | 150,000 | | | A+ | | 1.625% due 5/1/30 | | | 130,619 | |
| | 50,000 | | | A+ | | 4.800% due 7/17/34 | | | 51,014 | |
| | 25,000 | | | A+ | | 2.625% due 10/21/41 | | | 18,367 | |
| | 25,000 | | | A+ | | 4.450% due 4/14/46 | | | 23,085 | |
| | 85,000 | | | A+ | | 2.875% due 10/15/49 | | | 59,873 | |
| | 25,000 | | | A+ | | 3.625% due 3/19/50 | | | 20,050 | |
| | 50,000 | | | A+ | | 2.750% due 10/21/51 | | | 33,716 | |
| | 25,000 | | | A+ | | 4.200% due 7/18/52 | | | 21,999 | |
| | 25,000 | | | A+ | | 3.875% due 3/19/60 | | | 20,459 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 4,055,354 | |
| | | | | | | | | | |
|
| Biotechnology — 0.2% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB+ | | 2.200% due 2/21/27 | | | 94,821 | |
| | 171,000 | | | BBB+ | | 5.150% due 3/2/28 | | | 174,681 | |
| | 180,000 | | | BBB+ | | 4.050% due 8/18/29 | | | 176,723 | |
| | 271,000 | | | BBB+ | | 2.450% due 2/21/30 | | | 244,790 | |
| | 25,000 | | | BBB+ | | 6.375% due 6/1/37 | | | 27,941 | |
| | 100,000 | | | BBB+ | | 3.150% due 2/21/40 | | | 77,908 | |
| | 43,000 | | | BBB+ | | 3.375% due 2/21/50 | | | 31,960 | |
| | 150,000 | | | BBB+ | | 4.663% due 6/15/51 | | | 133,877 | |
| | 69,000 | | | BBB+ | | 4.200% due 2/22/52 | | | 57,415 | |
| | 114,000 | | | BBB+ | | 4.875% due 3/1/53 | | | 105,120 | |
| | 160,000 | | | BBB+ | | 5.650% due 3/2/53 | | | 165,003 | |
| | 100,000 | | | BBB+ | | 2.770% due 9/1/53 | | | 63,782 | |
| | 63,000 | | | BBB+ | | 4.400% due 2/22/62 | | | 52,422 | |
| | 67,000 | | | BBB+ | | 5.750% due 3/2/63 | | | 68,973 | |
| | 50,000 | | | BBB+ | | Biogen Inc., Senior Unsecured Notes, 3.150% due 5/1/50 | | | 34,008 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 160,000 | | | BBB+ | | 3.650% due 3/1/26 | | | 157,911 | |
| | 674,000 | | | BBB+ | | 1.650% due 10/1/30 | | | 574,168 | |
| | 90,000 | | | BBB+ | | 4.000% due 9/1/36 | | | 82,814 | |
See Notes to Financial Statements.
135
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Biotechnology — 0.2% — (continued) | |
| $ | 308,000 | | | BBB+ | | 2.600% due 10/1/40 | | $ | 222,670 | |
| | 142,000 | | | BBB+ | | 4.800% due 4/1/44 | | | 133,734 | |
| | 99,000 | | | BBB+ | | 4.500% due 2/1/45 | | | 89,067 | |
| | 130,000 | | | BBB+ | | 4.750% due 3/1/46 | | | 120,725 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 2,890,513 | |
| | | | | | | | | | |
|
| Building Materials — 0.0%@ | |
| | 30,000 | | | BB- | | Builders FirstSource Inc., Company Guaranteed Notes, 4.250% due 2/1/32(a) | | | 27,434 | |
| | 660,000 | | | B | | Camelot Return Merger Sub Inc., Senior Secured Notes, 8.750% due 8/1/28(a) | | | 655,489 | |
| | | | | | Carrier Global Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 2.493% due 2/15/27 | | | 47,930 | |
| | 50,000 | | | BBB | | 3.377% due 4/5/40 | | | 40,423 | |
| | 50,000 | | | BBB | | 3.577% due 4/5/50 | | | 38,428 | |
| | | | | | Martin Marietta Materials Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.250% due 12/15/47 | | | 21,264 | |
| | 25,000 | | | BBB+ | | 3.200% due 7/15/51 | | | 17,481 | |
| | 25,000 | | | BBB | | Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48 | | | 21,033 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 869,482 | |
| | | | | | | | | | |
|
| Chemicals — 0.4% | |
| | | | | | Air Products & Chemicals Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 4.850% due 2/8/34 | | | 25,420 | |
| | 25,000 | | | A | | 2.700% due 5/15/40 | | | 18,759 | |
| | 50,000 | | | A | | 2.800% due 5/15/50 | | | 34,005 | |
| | 25,000 | | | BBB | | Albemarle Corp., Senior Unsecured Notes, 5.650% due 6/1/52 | | | 22,770 | |
| | 500,000 | | | BB+ | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 7.250% due 2/13/33(a) | | | 491,920 | |
| | 25,000 | | | BBB | | Cabot Corp., Senior Unsecured Notes, 5.000% due 6/30/32 | | | 25,080 | |
| | 25,000 | | | BBB- | | Celanese US Holdings LLC, Company Guaranteed Notes, 6.165% due 7/15/27 | | | 25,804 | |
| | 25,000 | | | BBB | | CF Industries Inc., Company Guaranteed Notes, 5.375% due 3/15/44 | | | 24,082 | |
| | | | | | Dow Chemical Co. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 5.150% due 2/15/34 | | | 25,288 | |
| | 25,000 | | | BBB | | 5.250% due 11/15/41 | | | 24,439 | |
| | 25,000 | | | BBB | | 4.375% due 11/15/42 | | | 21,597 | |
| | 25,000 | | | BBB | | 4.625% due 10/1/44 | | | 22,129 | |
| | 25,000 | | | BBB | | 5.550% due 11/30/48 | | | 24,784 | |
| | 25,000 | | | BBB | | 4.800% due 5/15/49 | | | 22,303 | |
| | 25,000 | | | BBB | | 3.600% due 11/15/50 | | | 18,352 | |
| | 25,000 | | | BBB | | 6.900% due 5/15/53 | | | 29,051 | |
| | 25,000 | | | BBB | | 5.600% due 2/15/54 | | | 25,194 | |
| | | | | | DuPont de Nemours Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 4.725% due 11/15/28 | | | 50,719 | |
| | 32,000 | | | BBB+ | | 5.319% due 11/15/38 | | | 34,428 | |
| | 50,000 | | | BBB+ | | 5.419% due 11/15/48 | | | 54,455 | |
| | | | | | Eastman Chemical Co., Senior Unsecured Notes: | | | | |
| | 176,000 | | | BBB | | 4.500% due 12/1/28 | | | 175,723 | |
| | 25,000 | | | BBB | | 5.625% due 2/20/34 | | | 25,765 | |
| | 25,000 | | | BBB | | 4.650% due 10/15/44 | | | 22,113 | |
| | | | | | Ecolab Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 3.950% due 12/1/47 | | | 21,489 | |
| | 25,000 | | | A- | | 2.125% due 8/15/50 | | | 14,834 | |
| | 25,000 | | | A- | | 2.700% due 12/15/51 | | | 16,417 | |
| | 25,000 | | | A- | | 2.750% due 8/18/55 | | | 16,215 | |
| | 25,000 | | | A- | | EIDP Inc., Senior Unsecured Notes, 4.800% due 5/15/33 | | | 25,130 | |
| | | | | | FMC Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 4.500% due 10/1/49 | | | 20,052 | |
| | 25,000 | | | BBB- | | 6.375% due 5/18/53 | | | 26,288 | |
See Notes to Financial Statements.
136
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Chemicals — 0.4% — (continued) | |
| $ | 25,000 | | | BBB- | | Huntsman International LLC, Senior Unsecured Notes, 4.500% due 5/1/29 | | $ | 24,355 | |
| | | | | | International Flavors & Fragrances Inc.: | | | | |
| | 1,130,000 | | | BBB- | | Company Guaranteed Notes, 3.468% due 12/1/50(a) | | | 785,746 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 145,000 | | | BBB- | | 4.375% due 6/1/47 | | | 119,337 | |
| | 100,000 | | | BBB- | | 5.000% due 9/26/48 | | | 90,143 | |
| | 25,000 | | | A | | Linde Inc., Company Guaranteed Notes, 3.550% due 11/7/42 | | | 20,792 | |
| | 25,000 | | | BBB | | LYB International Finance BV, Company Guaranteed Notes, 4.875% due 3/15/44 | | | 22,719 | |
| | | | | | LYB International Finance III LLC, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB | | 4.200% due 10/15/49 | | | 20,029 | |
| | 50,000 | | | BBB | | 4.200% due 5/1/50 | | | 39,929 | |
| | 50,000 | | | BBB | | 3.625% due 4/1/51 | | | 36,169 | |
| | 25,000 | | | BBB | | 3.800% due 10/1/60 | | | 18,175 | |
| | 50,000 | | | BBB | | LyondellBasell Industries NV, Senior Unsecured Notes, 4.625% due 2/26/55 | | | 42,545 | |
| | 600,000 | | | BBB | | MEGlobal BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | | | 590,835 | |
| | | | | | Mosaic Co. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.875% due 11/15/41 | | | 22,930 | |
| | 25,000 | | | BBB | | 5.625% due 11/15/43 | | | 24,906 | |
| | | | | | Nutrien Ltd., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 5.625% due 12/1/40 | | | 25,399 | |
| | 25,000 | | | BBB | | 4.900% due 6/1/43 | | | 23,281 | |
| | 25,000 | | | BBB | | 5.000% due 4/1/49 | | | 23,093 | |
| | 25,000 | | | BBB | | 3.950% due 5/13/50 | | | 19,801 | |
| | 25,000 | | | BBB | | 5.800% due 3/27/53 | | | 25,882 | |
| | 1,615,000 | | | BBB- | | OCI NV, Company Guaranteed Notes, 6.700% due 3/16/33(a) | | | 1,667,050 | |
| | | | | | OCP SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 4.500% due 10/22/25(a) | | | 198,244 | |
| | 200,000 | | | BB+ | | 3.750% due 6/23/31(a) | | | 179,218 | |
| | 730,000 | | | BB+ | | 6.750% due 5/2/34(a) | | | 779,361 | |
| | 400,000 | | | BB+ | | 5.125% due 6/23/51(a) | | | 320,963 | |
| | | | | | Orbia Advance Corp. SAB de CV, Company Guaranteed Notes: | | | | |
| | 270,000 | | | BBB- | | 1.875% due 5/11/26(a) | | | 255,486 | |
| | 260,000 | | | BBB- | | 2.875% due 5/11/31(a) | | | 221,123 | |
| | 213,000 | | | BBB | | RPM International Inc., Senior Unsecured Notes, 3.750% due 3/15/27 | | | 208,319 | |
| | | | | | Sherwin-Williams Co. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 4.500% due 6/1/47 | | | 44,365 | |
| | 25,000 | | | BBB | | 3.800% due 8/15/49 | | | 19,805 | |
| | 25,000 | | | BBB | | 3.300% due 5/15/50 | | | 17,898 | |
| | 25,000 | | | BBB | | 2.900% due 3/15/52 | | | 16,566 | |
| | | | | | Westlake Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.125% due 8/15/51 | | | 32,861 | |
| | 25,000 | | | BBB+ | | 3.375% due 8/15/61 | | | 15,906 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 7,337,836 | |
| | | | | | | | | | |
|
| Coal — 0.0%@ | |
| | 10,000 | | | BBB- | | Teck Resources Ltd., Senior Unsecured Notes, 6.000% due 8/15/40 | | | 10,198 | |
| | | | | | | | | | |
|
| Commercial Services — 0.5% | |
| | 90,000 | | | A- | | Cintas Corp. No 2, Company Guaranteed Notes, 4.000% due 5/1/32 | | | 87,211 | |
| | 25,000 | | | BBB | | Equifax Inc., Senior Unsecured Notes, 5.100% due 6/1/28 | | | 25,431 | |
| | | | | | GEO Group Inc. (The): | | | | |
| | 270,000 | | | B | | Company Guaranteed Notes, 10.250% due 4/15/31 | | | 285,509 | |
| | 400,000 | | | BB | | Senior Secured Notes, 8.625% due 4/15/29 | | | 415,305 | |
| | | | | | Global Payments Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB- | | 1.200% due 3/1/26 | | | 47,430 | |
| | 176,000 | | | BBB- | | 4.450% due 6/1/28 | | | 174,173 | |
See Notes to Financial Statements.
137
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Commercial Services — 0.5% — (continued) | |
| $ | 44,000 | | | BBB- | | 3.200% due 8/15/29 | | $ | 40,824 | |
| | 100,000 | EUR | | BBB- | | 4.875% due 3/17/31 | | | 116,789 | |
| | 97,000 | | | BBB- | | 2.900% due 11/15/31 | | | 84,533 | |
| | 1,500,000 | | | BBB- | | 5.950% due 8/15/52 | | | 1,530,166 | |
| | | | | | Moody’s Corp., Senior Unsecured Notes: | | | | |
| | 245,000 | | | BBB+ | | 4.250% due 2/1/29 | | | 243,990 | |
| | 42,000 | | | BBB+ | | 2.000% due 8/19/31 | | | 35,665 | |
| | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | A- | | 1.650% due 6/1/25 | | | 9,761 | |
| | 25,000 | | | A- | | 2.650% due 10/1/26 | | | 24,159 | |
| | 50,000 | | | A- | | 2.850% due 10/1/29 | | | 46,570 | |
| | 240,000 | | | A- | | 2.300% due 6/1/30 | | | 214,872 | |
| | 25,000 | | | A- | | 5.150% due 6/1/34 | | | 25,693 | |
| | 25,000 | | | A- | | 3.250% due 6/1/50 | | | 18,119 | |
| | 25,000 | | | A- | | 5.050% due 6/1/52 | | | 24,416 | |
| | 1,100,000 | | | BBB- | | Quanta Services Inc., Senior Unsecured Notes, 5.250% due 8/9/34 | | | 1,110,558 | |
| | 118,000 | | | BBB+ | | RELX Capital Inc., Company Guaranteed Notes, 4.000% due 3/18/29 | | | 116,086 | |
| | 260,000 | | | B | | RR Donnelley & Sons Co., Senior Secured Notes, 9.500% due 8/1/29(a) | | | 257,973 | |
| | | | | | S&P Global Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | A3(b) | | 2.450% due 3/1/27 | | | 47,831 | |
| | 25,000 | | | A3(b) | | 3.700% due 3/1/52 | | | 20,033 | |
| | 25,000 | | | A3(b) | | 2.300% due 8/15/60 | | | 14,058 | |
| | 25,000 | | | A3(b) | | 3.900% due 3/1/62 | | | 19,975 | |
| | 240,000 | | | Ba3(b) | | Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Company Guaranteed Notes, 6.750% due 8/15/32(a) | | | 247,741 | |
| | 2,000,000 | EUR | | BBB+ | | Transurban Finance Co. Pty Ltd., Senior Secured Notes, (Cost - $2,263,683, acquired 3/6/24), 4.225% due 4/26/33(c) | | | 2,307,086 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB+ | | 3.875% due 2/15/31 | | | 46,213 | |
| | 120,000 | | | BB+ | | 3.750% due 1/15/32 | | | 108,397 | |
| | 20,000 | | | BB+ | | 6.125% due 3/15/34(a) | | | 20,454 | |
| | 720,000 | | | B | | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 703,041 | |
| | 25,000 | | | BBB | | Verisk Analytics Inc., Senior Unsecured Notes, 4.125% due 3/15/29 | | | 24,687 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 8,494,749 | |
| | | | | | | | | | |
|
| Computers — 0.2% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | AA+ | | 3.350% due 2/9/27 | | | 98,476 | |
| | 50,000 | | | AA+ | | 2.200% due 9/11/29 | | | 45,861 | |
| | 25,000 | | | AA+ | | 4.500% due 2/23/36 | | | 25,595 | |
| | 50,000 | | | AA+ | | 2.375% due 2/8/41 | | | 36,569 | |
| | 100,000 | | | AA+ | | 3.850% due 5/4/43 | | | 88,528 | |
| | 100,000 | | | AA+ | | 3.450% due 2/9/45 | | | 82,627 | |
| | 50,000 | | | AA+ | | 4.375% due 5/13/45 | | | 47,200 | |
| | 100,000 | | | AA+ | | 3.850% due 8/4/46 | | | 86,485 | |
| | 25,000 | | | AA+ | | 3.750% due 9/12/47 | | | 21,176 | |
| | 100,000 | | | AA+ | | 2.950% due 9/11/49 | | | 72,337 | |
| | 50,000 | | | AA+ | | 2.650% due 5/11/50 | | | 33,973 | |
| | 100,000 | | | AA+ | | 2.650% due 2/8/51 | | | 67,567 | |
| | 50,000 | | | AA+ | | 2.700% due 8/5/51 | | | 33,988 | |
| | 50,000 | | | AA+ | | 3.950% due 8/8/52 | | | 43,210 | |
| | 50,000 | | | AA+ | | 2.800% due 2/8/61 | | | 32,938 | |
| | 25,000 | | | AA+ | | 2.850% due 8/5/61 | | | 16,669 | |
| | 50,000 | | | AA+ | | 4.100% due 8/8/62 | | | 43,257 | |
See Notes to Financial Statements.
138
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Computers — 0.2% — (continued) | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| $ | 144,000 | | | BBB | | Company Guaranteed Notes, 3.450% due 12/15/51 | | $ | 103,081 | |
| | 23,000 | | | BBB | | Senior Unsecured Notes, 8.350% due 7/15/46 | | | 30,511 | |
| | | | | | DXC Technology Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 1.800% due 9/15/26 | | | 23,492 | |
| | 88,000 | | | BBB- | | 2.375% due 9/15/28 | | | 78,978 | |
| | 248,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 5.250% due 7/1/28 | | | 253,816 | |
| | | | | | HP Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.750% due 1/15/28 | | | 25,266 | |
| | 25,000 | | | BBB | | 6.000% due 9/15/41 | | | 26,449 | |
| | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 3.300% due 1/27/27 | | | 97,736 | |
| | 100,000 | | | A- | | 1.700% due 5/15/27 | | | 93,314 | |
| | 100,000 | | | A- | | 4.150% due 5/15/39 | | | 89,915 | |
| | 100,000 | | | A- | | 4.000% due 6/20/42 | | | 85,918 | |
| | 100,000 | | | A- | | 4.250% due 5/15/49 | | | 85,315 | |
| | 100,000 | | | A- | | 2.950% due 5/15/50 | | | 67,350 | |
| | | | | | Kyndryl Holdings Inc., Senior Unsecured Notes: | | | | |
| | 750,000 | | | BBB- | | 2.050% due 10/15/26 | | | 704,773 | |
| | 25,000 | | | BBB- | | 2.700% due 10/15/28 | | | 22,860 | |
| | 750,000 | | | BBB- | | 6.350% due 2/20/34 | | | 790,182 | |
| | 25,000 | | | BBB- | | Leidos Inc., Company Guaranteed Notes, 2.300% due 2/15/31 | | | 21,419 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 3,476,831 | |
| | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.1% | |
| | | | | | Estee Lauder Cos Inc. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 4.150% due 3/15/47 | | | 21,146 | |
| | 25,000 | | | A | | 3.125% due 12/1/49 | | | 17,814 | |
| | 25,000 | | | A | | 5.150% due 5/15/53 | | | 25,174 | |
| | 560,000 | | | BBB+ | | Haleon US Capital LLC, Company Guaranteed Notes, 3.375% due 3/24/29 | | | 535,806 | |
| | | | | | Kenvue Inc., Company Guaranteed Notes: | | | | |
| | 540,000 | | | A | | 4.900% due 3/22/33 | | | 553,038 | |
| | 50,000 | | | A | | 5.050% due 3/22/53 | | | 49,964 | |
| | 25,000 | | | A | | 5.200% due 3/22/63 | | | 25,102 | |
| | | | | | Procter & Gamble Co. (The), Senior Unsecured Notes: | | | | |
| | 80,000 | | | AA- | | 3.000% due 3/25/30 | | | 75,918 | |
| | 25,000 | | | AA- | | 3.600% due 3/25/50 | | | 20,888 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 1,324,850 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 1.1% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 2,950,000 | | | BBB+ | | 2.450% due 10/29/26 | | | 2,812,251 | |
| | 150,000 | | | BBB+ | | 6.450% due 4/15/27 | | | 156,106 | |
| | 150,000 | | | BBB+ | | 5.750% due 6/6/28 | | | 155,200 | |
| | 690,000 | | | BBB+ | | 3.000% due 10/29/28 | | | 645,622 | |
| | 1,497,000 | | | BBB+ | | 3.300% due 1/30/32 | | | 1,332,020 | |
| | 150,000 | | | BBB+ | | 3.400% due 10/29/33 | | | 130,904 | |
| | 655,000 | | | BBB- | | 6.950% (5-Year CMT Index + 2.720%) due 3/10/55(d) | | | 675,640 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 3.375% due 7/1/25 | | | 9,859 | |
| | 50,000 | | | BBB | | 1.875% due 8/15/26 | | | 47,421 | |
| | 50,000 | | | BBB | | 2.200% due 1/15/27 | | | 47,282 | |
| | 25,000 | | | BBB | | 5.850% due 12/15/27 | | | 25,902 | |
| | 280,000 | | | BBB | | 5.300% due 2/1/28 | | | 285,547 | |
| | 50,000 | | | BBB | | 2.100% due 9/1/28 | | | 45,298 | |
| | 25,000 | | | BBB | | 3.000% due 2/1/30 | | | 22,854 | |
| | 25,000 | | | BBB | | 3.125% due 12/1/30 | | | 22,624 | |
See Notes to Financial Statements.
139
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 1.1% — (continued) | |
| $ | 2,500,000 | | | BBB- | | Aircastle Ltd., Senior Unsecured Notes, 5.950% due 2/15/29(a) | | $ | 2,559,907 | |
| | 25,000 | | | BBB- | | Ally Financial Inc., Senior Unsecured Notes, 6.184% (SOFR + 2.290%) due 7/26/35(d) | | | 25,484 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB+ | | 6.338% (SOFR + 1.330%) due 10/30/26(d) | | | 101,723 | |
| | 100,000 | | | BBB+ | | 2.550% due 3/4/27 | | | 95,708 | |
| | 220,000 | | | BBB+ | | 4.050% due 5/3/29 | | | 219,110 | |
| | 100,000 | | | BBB+ | | 5.043% (SOFR + 1.835%) due 5/1/34(d) | | | 101,211 | |
| | 100,000 | | | BBB+ | | 4.050% due 12/3/42 | | | 88,702 | |
| | | | | | Avolon Holdings Funding Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 285,000 | | | BBB- | | 2.875% due 2/15/25(a) | | | 281,331 | |
| | 75,000 | | | BBB- | | 3.250% due 2/15/27(a) | | | 71,869 | |
| | 1,563,000 | | | BBB- | | 2.528% due 11/18/27(a) | | | 1,447,428 | |
| | 230,000 | | | BBB- | | Senior Unsecured Notes, 2.750% due 2/21/28(a) | | | 212,834 | |
| | | | | | Capital One Financial Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB | | 3.750% due 3/9/27 | | | 97,961 | |
| | 50,000 | | | BBB | | 5.817% (SOFR + 2.600%) due 2/1/34(d) | | | 51,141 | |
| | 50,000 | | | BBB | | 6.377% (SOFR + 2.860%) due 6/8/34(d) | | | 53,157 | |
| | | | | | Subordinated Notes: | | | | |
| | 50,000 | | | BBB- | | 3.750% due 7/28/26 | | | 49,005 | |
| | 27,000 | | | BBB- | | 2.359% (SOFR + 1.337%) due 7/29/32(d) | | | 21,688 | |
| | | | | | Charles Schwab Corp. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 0.900% due 3/11/26 | | | 47,269 | |
| | 25,000 | | | A- | | 1.150% due 5/13/26 | | | 23,630 | |
| | 750,000 | | | A- | | 5.875% due 8/24/26 | | | 768,782 | |
| | 50,000 | | | A- | | 2.450% due 3/3/27 | | | 47,622 | |
| | 25,000 | | | A- | | 3.300% due 4/1/27 | | | 24,286 | |
| | 50,000 | | | A- | | 2.000% due 3/20/28 | | | 46,082 | |
| | 25,000 | | | A- | | 4.000% due 2/1/29 | | | 24,598 | |
| | 50,000 | | | A- | | 5.643% (SOFR + 2.210%) due 5/19/29(d) | | | 51,748 | |
| | 50,000 | | | A- | | 6.196% (SOFR + 1.878%) due 11/17/29(d) | | | 52,949 | |
| | 25,000 | | | A- | | 2.900% due 3/3/32 | | | 22,146 | |
| | 2,530,000 | | | A- | | 6.136% (SOFR + 2.010%) due 8/24/34(d) | | | 2,721,329 | |
| | 759,000 | | | A+ | | Credit Suisse USA LLC, Company Guaranteed Notes, 7.125% due 7/15/32 | | | 867,289 | |
| | 50,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | 49,140 | |
| | | | | | Intercontinental Exchange Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 4.000% due 9/15/27 | | | 49,557 | |
| | 50,000 | | | A- | | 4.350% due 6/15/29 | | | 49,895 | |
| | 13,000 | | | A- | | 2.100% due 6/15/30 | | | 11,478 | |
| | 540,000 | | | A- | | 4.600% due 3/15/33 | | | 538,592 | |
| | 25,000 | | | A- | | 2.650% due 9/15/40 | | | 18,400 | |
| | 25,000 | | | A- | | 4.250% due 9/21/48 | | | 21,742 | |
| | 50,000 | | | A- | | 3.000% due 6/15/50 | | | 34,806 | |
| | 110,000 | | | A- | | 4.950% due 6/15/52 | | | 107,900 | |
| | 50,000 | | | A- | | 3.000% due 9/15/60 | | | 32,329 | |
| | | | | | Jefferies Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 4.850% due 1/15/27 | | | 50,113 | |
| | 50,000 | | | BBB | | 5.875% due 7/21/28 | | | 51,785 | |
| | 50,000 | | | BBB | | 4.150% due 1/23/30 | | | 48,102 | |
| | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | | 29,763 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17*(g)(i)# | | | — | |
| | | | | | Mastercard Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A+ | | 3.650% due 6/1/49 | | | 20,256 | |
| | 80,000 | | | A+ | | 3.850% due 3/26/50 | | | 66,725 | |
| | 25,000 | | | A+ | | 2.950% due 3/15/51 | | | 17,638 | |
See Notes to Financial Statements.
140
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 1.1% — (continued) | |
| $ | 392,000 | | | BBB | | Nasdaq Inc., Senior Unsecured Notes, 5.550% due 2/15/34 | | $ | 408,943 | |
| | | | | | Nomura Holdings Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 1.653% due 7/14/26 | | | 188,711 | |
| | 200,000 | | | BBB+ | | 6.070% due 7/12/28 | | | 208,688 | |
| | 25,000 | | | BBB- | | Radian Group Inc., Senior Unsecured Notes, 4.875% due 3/15/27 | | | 24,915 | |
| | 1,000,000 | EUR | | B | | Sherwood Financing PLC, Senior Secured Notes, (Cost — $1,032,457, acquired 3/8/24), 4.500% due 11/15/26(c) | | | 1,031,675 | |
| | 50,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 3.700% due 8/4/26 | | | 48,875 | |
| | 150,000 | | | AA | | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | | | 132,807 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 210,000 | | | AA- | | 2.050% due 4/15/30 | | | 188,101 | |
| | 25,000 | | | AA- | | 2.700% due 4/15/40 | | | 19,210 | |
| | 350,000 | | | AA- | | 4.300% due 12/14/45 | | | 318,299 | |
| | 25,000 | | | AA- | | 3.650% due 9/15/47 | | | 20,501 | |
| | 50,000 | | | AA- | | 2.000% due 8/15/50 | | | 30,037 | |
| | 25,000 | | | BBB+ | | Voya Financial Inc., Company Guaranteed Notes, 3.650% due 6/15/26 | | | 24,575 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 20,434,077 | |
| | | | | | | | | | |
|
| Electric — 2.1% | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 43,000 | | | BBB+ | | 5.400% due 6/1/33 | | | 43,512 | |
| | 82,000 | | | BBB+ | | 3.450% due 1/15/50 | | | 57,811 | |
| | 41,000 | | | BBB+ | | 3.450% due 5/15/51 | | | 28,564 | |
| | | | | | AEP Transmission Co. LLC, Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 94,046 | |
| | 109,000 | | | BBB+ | | 3.150% due 9/15/49 | | | 76,715 | |
| | 120,000 | | | BBB+ | | 2.750% due 8/15/51 | | | 76,550 | |
| | 65,000 | | | BBB+ | | 4.500% due 6/15/52 | | | 57,220 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 64,000 | | | A | | 3.700% due 12/1/47 | | | 50,399 | |
| | 60,000 | | | A | | 3.450% due 10/1/49 | | | 45,003 | |
| | 116,000 | | | A | | 3.125% due 7/15/51 | | | 80,865 | |
| | 211,000 | | | A | | 3.000% due 3/15/52 | | | 144,096 | |
| | | | | | Ameren Illinois Co., 1st Mortgage Notes: | | | | |
| | 43,000 | | | A | | 3.250% due 3/15/50 | | | 30,801 | |
| | 95,000 | | | A | | 2.900% due 6/15/51 | | | 63,109 | |
| | 150,000 | | | A- | | American Transmission Systems Inc., Senior Unsecured Notes, 2.650% due 1/15/32(a) | | | 130,037 | |
| | 1,355,000 | | | BBB+ | | Appalachian Power Co., Senior Unsecured Notes, 5.650% due 4/1/34 | | | 1,402,648 | |
| | | | | | Arizona Public Service Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 5.550% due 8/1/33 | | | 25,734 | |
| | 25,000 | | | BBB+ | | 3.350% due 5/15/50 | | | 17,709 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 6,000 | | | A | | 3.500% due 8/15/46 | | | 4,606 | |
| | 150,000 | | | A | | 3.750% due 8/15/47 | | | 118,332 | |
| | 130,000 | | | A | | 3.200% due 9/15/49 | | | 91,360 | |
| | 67,000 | | | A | | 2.900% due 6/15/50 | | | 44,430 | |
| | 104,000 | | | A | | 4.550% due 6/1/52 | | | 92,094 | |
| | 65,000 | | | A | | 5.400% due 6/1/53 | | | 65,863 | |
| | 25,000 | | | A- | | Berkshire Hathaway Energy Co., Senior Unsecured Notes, 6.125% due 4/1/36 | | | 27,302 | |
| | | | | | CenterPoint Energy Houston Electric LLC: | | | | |
| | 118,000 | | | A | | 1st Mortgage Notes, 3.600% due 3/1/52 | | | 88,934 | |
| | 129,000 | | | A | | General Refinance Mortgage, 4.450% due 10/1/32 | | | 126,841 | |
| | 25,000 | | | A | | Commonwealth Edison Co., 1st Mortgage Notes, 5.900% due 3/15/36 | | | 27,201 | |
| | | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 3.350% due 4/1/30 | | | 57,143 | |
| | 40,000 | | | A- | | 3.950% due 4/1/50 | | | 33,161 | |
See Notes to Financial Statements.
141
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 2.1% — (continued) | |
| $ | 134,000 | | | A- | | 5.900% due 11/15/53 | | $ | 144,198 | |
| | 25,000 | | | A- | | 4.625% due 12/1/54 | | | 22,423 | |
| | | | | | Consumers Energy Co., 1st Mortgage Notes: | | | | |
| | 156,000 | | | A | | 3.500% due 8/1/51 | | | 122,492 | |
| | 53,000 | | | A | | 2.650% due 8/15/52 | | | 35,264 | |
| | 113,000 | | | A | | 4.200% due 9/1/52 | | | 96,514 | |
| | 83,000 | | | A | | Dominion Energy South Carolina Inc., 1st Mortgage Notes, 6.250% due 10/15/53 | | | 94,373 | |
| | 180,000 | | | A | | DTE Electric Co., General Refinance Mortgage, 3.250% due 4/1/51 | | | 130,021 | |
| | | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes: | | | | |
| | 454,000 | | | A | | 3.950% due 11/15/28 | | | 449,018 | |
| | 240,000 | | | A | | 4.950% due 1/15/33 | | | 244,030 | |
| | 25,000 | | | A | | 6.050% due 4/15/38 | | | 27,530 | |
| | 500,000 | | | A | | 4.250% due 12/15/41 | | | 442,756 | |
| | 105,000 | | | A | | 3.200% due 8/15/49 | | | 74,177 | |
| | 395,000 | | | A | | 3.550% due 3/15/52 | | | 294,252 | |
| | 352,000 | | | A | | 5.350% due 1/15/53 | | | 353,977 | |
| | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 2.650% due 9/1/26 | | | 48,233 | |
| | 50,000 | | | BBB | | 4.850% due 1/5/27 | | | 50,499 | |
| | 1,900,000 | EUR | | BBB | | 3.100% due 6/15/28 | | | 2,084,046 | |
| | | | | | Duke Energy Florida LLC, 1st Mortgage Notes: | | | | |
| | 345,000 | | | A | | 2.500% due 12/1/29 | | | 316,016 | |
| | 233,000 | | | A | | 1.750% due 6/15/30 | | | 200,909 | |
| | 25,000 | | | A | | 6.400% due 6/15/38 | | | 28,097 | |
| | 24,000 | | | A | | 4.200% due 7/15/48 | | | 20,247 | |
| | 26,000 | | | A | | 5.950% due 11/15/52 | | | 28,004 | |
| | | | | | Duke Energy Ohio Inc., 1st Mortgage Notes: | | | | |
| | 729,000 | | | A | | 3.650% due 2/1/29 | | | 707,337 | |
| | 20,000 | | | A | | 5.650% due 4/1/53 | | | 20,533 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 130,000 | | | A | | 3.450% due 3/15/29 | | | 125,361 | |
| | 143,000 | | | A | | 5.250% due 3/15/33 | | | 148,237 | |
| | 131,000 | | | A | | 4.150% due 12/1/44 | | | 111,566 | |
| | 67,000 | | | A | | 2.900% due 8/15/51 | | | 44,326 | |
| | 180,000 | | | BBB- | | Edison International, Senior Unsecured Notes, 6.950% due 11/15/29 | | | 196,939 | |
| | 87,000 | | | A | | Entergy Arkansas LLC, 1st Mortgage Notes, 3.350% due 6/15/52 | | | 61,650 | |
| | | | | | Entergy Louisiana LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 1,330,000 | | | A | | 5.150% due 9/15/34 | | | 1,344,314 | |
| | 1,250,000 | | | A | | 4.750% due 9/15/52 | | | 1,131,134 | |
| | 25,000 | | | A | | Collateral Trust, 4.200% due 9/1/48 | | | 20,680 | |
| | 2,000,000 | EUR | | A- | | ESB Finance DAC, Company Guaranteed Notes, (Cost — $2,227,612, acquired 3/6/24), 4.000% due 10/3/28(c) | | | 2,280,147 | |
| | 1,245,000 | | | BB+ | | EUSHI Finance Inc., Company Guaranteed Notes, 7.625%
(5-Year CMT Index + 3.136%) due 12/15/54(a)(d) | | | 1,293,435 | |
| | | | | | Eversource Energy, Senior Unsecured Notes: | | | | |
| | 228,000 | | | BBB+ | | 5.450% due 3/1/28 | | | 233,793 | |
| | 1,500,000 | | | BBB+ | | 5.500% due 1/1/34 | | | 1,532,887 | |
| | 85,000 | | | BBB | | Exelon Corp., Senior Unsecured Notes, 5.625% due 6/15/35 | | | 89,498 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB- | | 1.600% due 1/15/26 | | | 57,606 | |
| | 470,000 | | | BBB- | | 3.900% due 7/15/27 | | | 461,451 | |
| | 300,000 | | | BBB- | | 4.850% due 7/15/47 | | | 268,013 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 25,000 | | | A+ | | 5.650% due 2/1/37 | | | 26,789 | |
| | 251,000 | | | A+ | | 3.950% due 3/1/48 | | | 209,011 | |
| | 122,000 | | | A+ | | 2.875% due 12/4/51 | | | 82,162 | |
See Notes to Financial Statements.
142
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 2.1% — (continued) | |
| | | | | | Georgia Power Co., Senior Unsecured Notes: | | | | |
| $ | 50,000 | | | A | | 5.004% due 2/23/27 | | $ | 50,799 | |
| | 278,000 | | | A | | 4.950% due 5/17/33 | | | 281,330 | |
| | 660,000 | | | A- | | Indianapolis Power & Light Co., 1st Mortgage Notes, 5.700% due 4/1/54(a) | | | 685,767 | |
| | | | | | MidAmerican Energy Co., 1st Mortgage Notes: | | | | |
| | 47,000 | | | A | | 3.100% due 5/1/27 | | | 45,673 | |
| | 141,000 | | | A | | 5.850% due 9/15/54 | | | 152,323 | |
| | 167,000 | | | A | | 5.300% due 2/1/55 | | | 166,987 | |
| | | | | | National Rural Utilities Cooperative Finance Corp.: | | | | |
| | 1,500,000 | | | A- | | Secured Notes, 5.800% due 1/15/33 | | | 1,603,864 | |
| | 100,000 | | | A- | | Senior Unsecured Notes, 4.850% due 2/7/29 | | | 101,879 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 285,000 | | | BBB+ | | 5.749% due 9/1/25 | | | 287,400 | |
| | 200,000 | | | BBB+ | | 4.950% due 1/29/26 | | | 200,962 | |
| | 250,000 | | | BBB+ | | 1.875% due 1/15/27 | | | 235,580 | |
| | 50,000 | | | BBB+ | | 2.250% due 6/1/30 | | | 44,159 | |
| | 50,000 | | | BBB+ | | 5.050% due 2/28/33 | | | 50,468 | |
| | 50,000 | | | BBB+ | | 5.250% due 3/15/34 | | | 50,903 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 211,000 | | | A | | 2.900% due 3/1/50 | | | 142,986 | |
| | 218,000 | | | A | | 2.600% due 6/1/51 | | | 138,001 | |
| | 162,000 | | | A | | 5.100% due 5/15/53 | | | 157,719 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 113,000 | | | BBB+ | | 2.600% due 4/1/30 | | | 101,593 | |
| | 89,000 | | | BBB+ | | 5.000% due 6/1/33 | | | 89,077 | |
| | 66,000 | | | BBB+ | | 4.000% due 6/1/49 | | | 52,347 | |
| | 118,000 | | | BBB+ | | 2.900% due 10/1/51 | | | 75,248 | |
| | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | A+ | | 4.550% due 9/15/32 | | | 49,621 | |
| | 50,000 | | | A+ | | 5.650% due 11/15/33 | | | 53,186 | |
| | 50,000 | | | A+ | | 4.950% due 9/15/52 | | | 47,606 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 420,000 | | | BBB | | 4.950% due 6/8/25 | | | 418,858 | |
| | 500,000 | | | BBB | | 5.450% due 6/15/27 | | | 507,776 | |
| | 89,000 | | | BBB | | 2.500% due 2/1/31 | | | 76,471 | |
| | 136,000 | | | BBB | | 6.150% due 1/15/33 | | | 143,557 | |
| | 179,000 | | | BBB | | 6.400% due 6/15/33 | | | 191,494 | |
| | 211,000 | | | BBB | | 6.950% due 3/15/34 | | | 235,875 | |
| | 100,000 | | | BBB | | 4.500% due 7/1/40 | | | 86,869 | |
| | 150,000 | | | BBB | | 3.300% due 8/1/40 | | | 112,264 | |
| | 50,000 | | | BBB | | 4.950% due 7/1/50 | | | 43,800 | |
| | 90,000 | | | BBB | | 3.500% due 8/1/50 | | | 62,381 | |
| | 55,000 | | | BBB | | 6.700% due 4/1/53 | | | 60,420 | |
| | | | | | PacifiCorp, 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 5.450% due 2/15/34 | | | 51,173 | |
| | 25,000 | | | A | | 5.750% due 4/1/37 | | | 26,007 | |
| | | | | | PECO Energy Co., 1st Mortgage Notes: | | | | |
| | 146,000 | | | A | | 3.050% due 3/15/51 | | | 100,337 | |
| | 174,000 | | | A | | 4.600% due 5/15/52 | | | 156,013 | |
| | 91,000 | | | A | | 4.375% due 8/15/52 | | | 79,247 | |
| | 735,000 | | | BBB+ | | PPL Capital Funding Inc., Company Guaranteed Notes, 5.250% due 9/1/34 | | | 744,652 | |
| | | | | | PPL Electric Utilities Corp., 1st Mortgage Notes: | | | | |
| | 25,000 | | | A+ | | 5.000% due 5/15/33 | | | 25,399 | |
| | 25,000 | | | A+ | | 4.850% due 2/15/34 | | | 25,296 | |
| | 25,000 | | | A+ | | 5.250% due 5/15/53 | | | 25,185 | |
| | 202,000 | | | A+ | | Public Service Co. of New Hampshire, 1st Mortgage Notes, 5.150% due 1/15/53 | | | 199,271 | |
See Notes to Financial Statements.
143
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 2.1% — (continued) | |
| | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | | |
| $ | 199,000 | | | A | | 3.200% due 5/15/29 | | $ | 189,410 | |
| | 185,000 | | | A | | 4.900% due 12/15/32 | | | 188,704 | |
| | 2,000,000 | EUR | | Baa2(b) | | RWE AG, Senior Unsecured Notes, (Cost — $2,102,944, acquired 3/7/24), 2.750% due 5/24/30(c) | | | 2,146,806 | |
| | | | | | San Diego Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 230,000 | | | A | | 3.320% due 4/15/50 | | | 166,506 | |
| | 120,000 | | | A | | 5.350% due 4/1/53 | | | 120,302 | |
| | 25,000 | | | BBB | | Sempra, Senior Unsecured Notes, 3.800% due 2/1/38 | | | 21,363 | |
| | | | | | Southern California Edison Co.: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 225,000 | | | A- | | 1.200% due 2/1/26 | | | 214,179 | |
| | 710,000 | | | A- | | 5.300% due 3/1/28 | | | 728,403 | |
| | 308,000 | | | A- | | 5.650% due 10/1/28 | | | 321,602 | |
| | 299,000 | | | A- | | 5.950% due 11/1/32 | | | 320,642 | |
| | 219,000 | | | A- | | 5.200% due 6/1/34 | | | 222,750 | |
| | 60,000 | | | A- | | 3.650% due 6/1/51 | | | 44,976 | |
| | 55,000 | | | A- | | 5.875% due 12/1/53 | | | 57,882 | |
| | 1,000,000 | | | A- | | 5.750% due 4/15/54 | | | 1,043,072 | |
| | 25,000 | | | A- | | 1st Refinanced Mortgage Notes, 5.950% due 2/1/38 | | | 26,714 | |
| | 425,000 | | | A- | | Southwestern Public Service Co., 1st Mortgage Notes, 6.000% due 6/1/54 | | | 451,792 | |
| | | | | | TenneT Holding BV, Senior Unsecured Notes: | | | | |
| | 540,000 | EUR | | A3(b) | | (Cost — $630,925, acquired 3/24/23), 4.500% due 10/28/34(c) | | | 650,567 | |
| | 704,000 | EUR | | A3(b) | | (Cost — $829,742, acquired 6/7/24), 4.750% due 10/28/42(c) | | | 840,486 | |
| | 126,000 | | | A | | Union Electric Co., 1st Mortgage Notes, 5.450% due 3/15/53 | | | 127,623 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 6.000% due 5/15/37 | | | 27,056 | |
| | 52,000 | | | BBB+ | | 2.950% due 11/15/51 | | | 34,490 | |
| | 226,000 | | | BBB+ | | 5.700% due 8/15/53 | | | 234,869 | |
| | 15,000 | | | BBB+ | | 5.350% due 1/15/54 | | | 14,967 | |
| | | | | | Vistra Operations Co. LLC, Senior Secured Notes: | | | | |
| | 2,997,000 | | | BBB- | | 3.700% due 1/30/27(a) | | | 2,917,113 | |
| | 1,250,000 | | | BBB- | | 6.950% due 10/15/33(a) | | | 1,389,484 | |
| | | | | | Wisconsin Power & Light Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 5.375% due 3/30/34 | | | 25,816 | |
| | 25,000 | | | A | | 3.650% due 4/1/50 | | | 18,874 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 39,740,302 | |
| | | | | | | | | | |
|
| Electrical Components & Equipment — 0.0%@ | |
| | | | | | Emerson Electric Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 2.750% due 10/15/50 | | | 16,857 | |
| | 25,000 | | | A | | 2.800% due 12/21/51 | | | 16,653 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 33,510 | |
| | | | | | | | | | |
|
| Electronics — 0.1% | |
| | | | | | Honeywell International Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 2.500% due 11/1/26 | | | 96,546 | |
| | 100,000 | | | A | | 1.100% due 3/1/27 | | | 92,887 | |
| | 540,000 | | | A | | 5.000% due 3/1/35 | | | 554,544 | |
| | 25,000 | | | A | | 3.812% due 11/21/47 | | | 20,606 | |
| | 50,000 | | | A | | 2.800% due 6/1/50 | | | 34,685 | |
| | 25,000 | | | A | | 5.250% due 3/1/54 | | | 25,474 | |
| | 25,000 | | | A | | 5.350% due 3/1/64 | | | 25,701 | |
| | 440,000 | | | BB+ | | Sensata Technologies Inc., Company Guaranteed Notes, 6.625% due 7/15/32(a) | | | 455,551 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 1,305,994 | |
| | | | | | | | | | |
See Notes to Financial Statements.
144
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Engineering & Construction — 0.0%@ | |
| $ | 475,000 | | | BBB- | | CIMIC Finance USA Pty Ltd., Company Guaranteed Notes, 7.000% due 3/25/34(a) | | $ | 503,733 | |
| | | | | | | | | | |
|
| Entertainment — 0.3% | |
| | 1,000,000 | EUR | | B | | 888 Acquisitions Ltd., Senior Secured Notes, 7.558% due 7/15/27(a) | | | 1,089,422 | |
| | 90,000 | | | BB- | | Caesars Entertainment Inc., Senior Secured Notes, 7.000% due 2/15/30(a) | | | 93,275 | |
| | 1,170,000 | | | BBB- | | GENM Capital Labuan Ltd., Company Guaranteed Notes, 3.882% due 4/19/31(a) | | | 1,047,505 | |
| | | | | | Warnermedia Holdings Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 6.412% due 3/15/26 | | | 20,007 | |
| | 180,000 | | | BBB- | | 3.755% due 3/15/27 | | | 172,529 | |
| | 510,000 | | | BBB- | | 4.054% due 3/15/29 | | | 476,600 | |
| | 380,000 | | | BBB- | | 4.279% due 3/15/32 | | | 332,622 | |
| | 50,000 | | | BBB- | | 5.050% due 3/15/42 | | | 40,172 | |
| | 3,351,000 | | | BBB- | | 5.141% due 3/15/52 | | | 2,552,642 | |
| | 160,000 | | | BB- | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes, 7.125% due 2/15/31(a) | | | 169,931 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 5,994,705 | |
| | | | | | | | | | |
|
| Environmental Control — 0.0%@ | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 66,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 64,166 | |
| | 260,000 | | | BBB+ | | 4.875% due 4/1/29 | | | 265,291 | |
| | | | | | Waste Connections Inc., Senior Unsecured Notes: | | | | |
| | 330,000 | | | BBB+ | | 5.000% due 3/1/34 | | | 335,522 | |
| | 25,000 | | | BBB+ | | 3.050% due 4/1/50 | | | 17,710 | |
| | 25,000 | | | BBB+ | | 2.950% due 1/15/52 | | | 16,977 | |
| | 170,000 | | | A- | | Waste Management Inc., Company Guaranteed Notes, 2.950% due 6/1/41 | | | 128,887 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 828,553 | |
| | | | | | | | | | |
|
| Food — 0.3% | |
| | 100,000 | | | BBB- | | Conagra Brands Inc., Senior Unsecured Notes, 5.300% due 10/1/26 | | | 101,412 | |
| | | | | | General Mills Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 3.200% due 2/10/27 | | | 48,533 | |
| | 25,000 | | | BBB | | 3.000% due 2/1/51 | | | 16,807 | |
| | 620,000 | GBP | | B | | Iceland Bondsco PLC, Senior Secured Notes, (Cost — $825,024, acquired 5/29/24), 10.875% due 12/15/27(c) | | | 877,196 | |
| | | | | | J.M. Smucker Co. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.250% due 3/15/35 | | | 23,531 | |
| | 25,000 | | | BBB | | 6.500% due 11/15/53 | | | 28,026 | |
| | | | | | JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB- | | 2.500% due 1/15/27 | | | 95,025 | |
| | 465,000 | | | BBB- | | 3.000% due 5/15/32 | | | 398,806 | |
| | 50,000 | | | BBB- | | 4.375% due 2/2/52 | | | 39,323 | |
| | 50,000 | | | BBB- | | 6.500% due 12/1/52 | | | 52,520 | |
| | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB | | 3.000% due 6/1/26 | | | 9,741 | |
| | 40,000 | | | BBB | | 4.250% due 3/1/31 | | | 39,381 | |
| | 25,000 | | | BBB | | 6.875% due 1/26/39 | | | 28,943 | |
| | 25,000 | | | BBB | | 6.500% due 2/9/40 | | | 27,819 | |
| | 30,000 | | | BBB | | 5.000% due 6/4/42 | | | 28,380 | |
| | 210,000 | | | BBB | | 5.200% due 7/15/45 | | | 202,124 | |
| | 75,000 | | | BBB | | 4.375% due 6/1/46 | | | 64,327 | |
| | 50,000 | | | BBB | | 4.875% due 10/1/49 | | | 45,789 | |
| | | | | | Kroger Co. (The), Senior Unsecured Notes: | | | | |
| | 1,445,000 | | | BBB | | 5.000% due 9/15/34 | | | 1,441,922 | |
| | 25,000 | | | BBB | | 3.875% due 10/15/46 | | | 19,778 | |
| | 25,000 | | | BBB | | 4.450% due 2/1/47 | | | 21,481 | |
See Notes to Financial Statements.
145
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Food — 0.3% — (continued) | |
| $ | 25,000 | | | BBB | | 5.400% due 1/15/49 | | $ | 24,561 | |
| | 25,000 | | | BBB | | 3.950% due 1/15/50 | | | 19,804 | |
| | 865,000 | | | BBB | | 5.650% due 9/15/64 | | | 849,003 | |
| | 230,000 | | | A+ | | Mars Inc., Company Guaranteed Notes, 3.200% due 4/1/30(a) | | | 215,714 | |
| | 70,000 | | | BBB | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 5/4/25 | | | 68,379 | |
| | | | | | Sysco Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 3.300% due 7/15/26 | | | 48,922 | |
| | 25,000 | | | BBB | | 4.450% due 3/15/48 | | | 21,615 | |
| | 25,000 | | | BBB | | 3.150% due 12/14/51 | | | 17,105 | |
| | 25,000 | | | BBB | | Tyson Foods Inc., Senior Unsecured Notes, 5.100% due 9/28/48 | | | 23,212 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 4,899,179 | |
| | | | | | | | | | |
|
| Forest Products & Paper — 0.0%@ | |
| | | | | | International Paper Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 6.000% due 11/15/41 | | | 26,791 | |
| | 25,000 | | | BBB | | 4.800% due 6/15/44 | | | 22,944 | |
| | 25,000 | | | BBB | | 4.350% due 8/15/48 | | | 21,418 | |
| | | | | | Suzano Austria GmbH, Company Guaranteed Notes: | | | | |
| | 150,000 | | | BBB- | | 3.750% due 1/15/31 | | | 136,480 | |
| | 670,000 | | | BBB- | | 3.125% due 1/15/32 | | | 571,431 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 779,064 | |
| | | | | | | | | | |
|
| Gas — 0.4% | |
| | 1,000,000 | EUR | | BBB | | APA Infrastructure Ltd., (Cost — $977,817, acquired 5/31/24), Company Guaranteed Notes, 2.000% due 7/15/30(c) | | | 1,010,856 | |
| | 92,000 | | | A- | | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 10/15/44 | | | 79,816 | |
| | 1,295,000 | | | BBB+ | | Brooklyn Union Gas Co. (The), Senior Unsecured Notes, 6.388% due 9/15/33(a) | | | 1,376,575 | |
| | | | | | CenterPoint Energy Resources Corp., Senior Unsecured Notes: | | | | |
| | 108,000 | | | BBB+ | | 5.250% due 3/1/28 | | | 110,360 | |
| | 52,000 | | | BBB+ | | 1.750% due 10/1/30 | | | 44,000 | |
| | 1,270,000 | | | BBB+ | | KeySpan Gas East Corp., Senior Unsecured Notes, 5.994% due 3/6/33(a) | | | 1,319,104 | |
| | | | | | NiSource Inc., Senior Unsecured Notes: | | | | |
| | 75,000 | | | BBB+ | | 3.490% due 5/15/27 | | | 73,082 | |
| | 161,000 | | | BBB+ | | 5.250% due 3/30/28 | | | 164,646 | |
| | 153,000 | | | BBB+ | | 3.600% due 5/1/30 | | | 145,140 | |
| | | | | | Piedmont Natural Gas Co., Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB+ | | 3.500% due 6/1/29 | | | 86,048 | |
| | 96,000 | | | BBB+ | | 2.500% due 3/15/31 | | | 83,719 | |
| | 2,000,000 | EUR | | BBB+ | | Snam SpA, Senior Unsecured Notes, (Cost — $1,816,701, acquired 3/7/24), 0.625% due 6/30/31(c) | | | 1,846,621 | |
| | 1,000,000 | | | A+ | | Southern California Gas Co., 1st Mortgage Notes, 5.750% due 6/1/53 | | | 1,045,292 | |
| | 155,000 | | | BBB | | Southwest Gas Corp., Senior Unsecured Notes, 5.450% due 3/23/28 | | | 158,478 | |
| | 75,000 | | | A | | Spire Missouri Inc., 1st Mortgage Notes, 4.800% due 2/15/33 | | | 75,383 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 7,619,120 | |
| | | | | | | | | | |
|
| Healthcare — Products — 0.2% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 120,000 | | | AA- | | 4.750% due 11/30/36 | | | 121,594 | |
| | 225,000 | | | AA- | | 4.900% due 11/30/46 | | | 223,379 | |
| | 60,000 | | | BBB+ | | Agilent Technologies Inc., Senior Unsecured Notes, 2.300% due 3/12/31 | | | 52,064 | |
| | | | | | Baxter International Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 1.915% due 2/1/27 | | | 46,948 | |
| | 25,000 | | | BBB | | 3.132% due 12/1/51 | | | 16,770 | |
| | 25,000 | | | BBB+ | | Boston Scientific Corp., Senior Unsecured Notes, 4.700% due 3/1/49 | | | 23,520 | |
| | | | | | Danaher Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 2.600% due 10/1/50 | | | 16,148 | |
| | 25,000 | | | A- | | 2.800% due 12/10/51 | | | 16,661 | |
See Notes to Financial Statements.
146
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Products — 0.2% — (continued) | |
| $ | 25,000 | | | A- | | DH Europe Finance II Sarl, Company Guaranteed Notes, 3.400% due 11/15/49 | | $ | 19,021 | |
| | 100,000 | | | BBB | | GE HealthCare Technologies Inc., Senior Unsecured Notes, 6.377% due 11/22/52 | | | 113,891 | |
| | 220,000 | | | B+ | | Medline Borrower LP/Medline Co.-Issuer Inc., Senior Secured Notes, 6.250% due 4/1/29(a) | | | 227,057 | |
| | | | | | Medtronic Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | A | | 4.375% due 3/15/35 | | | 49,023 | |
| | 50,000 | | | A | | 4.625% due 3/15/45 | | | 47,154 | |
| | | | | | Solventum Corp., Company Guaranteed Notes: | | | | |
| | 420,000 | | | BBB- | | 5.400% due 3/1/29(a) | | | 428,394 | |
| | 430,000 | | | BBB- | | 5.450% due 3/13/31(a) | | | 438,140 | |
| | 590,000 | | | BBB- | | 5.600% due 3/23/34(a) | | | 602,218 | |
| | 465,000 | | | BBB- | | 5.900% due 4/30/54(a) | | | 471,355 | |
| | | | | | Stryker Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.625% due 3/15/46 | | | 23,100 | |
| | 25,000 | | | BBB+ | | 2.900% due 6/15/50 | | | 17,242 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 164,000 | | | A- | | 2.000% due 10/15/31 | | | 140,271 | |
| | 755,000 | | | A- | | 5.086% due 8/10/33 | | | 779,870 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 3,873,820 | |
| | | | | | | | | | |
|
| Healthcare — Services — 0.6% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 6.625% due 6/15/36 | | | 27,796 | |
| | 25,000 | | | BBB | | 4.125% due 11/15/42 | | | 20,529 | |
| | 25,000 | | | BBB | | 4.750% due 3/15/44 | | | 22,078 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB- | | 4.250% due 12/15/27 | | | 146,763 | |
| | 50,000 | | | BBB- | | 2.450% due 7/15/28 | | | 45,790 | |
| | 250,000 | | | BBB- | | 4.625% due 12/15/29 | | | 243,357 | |
| | 80,000 | | | BBB- | | 3.375% due 2/15/30 | | | 73,353 | |
| | 70,000 | | | BBB- | | 3.000% due 10/15/30 | | | 62,271 | |
| | 50,000 | | | BBB- | | 2.500% due 3/1/31 | | | 42,517 | |
| | 10,000 | | | BBB- | | 2.625% due 8/1/31 | | | 8,493 | |
| | 100,000 | | | A | | City of Hope, Senior Secured Notes, 5.623% due 11/15/43 | | | 100,737 | |
| | | | | | CommonSpirit Health: | | | | |
| | 30,000 | | | A- | | Secured Notes, 4.350% due 11/1/42 | | | 26,528 | |
| | | | | | Senior Secured Notes: | | | | |
| | 175,000 | | | AA | | 3.817% due 10/1/49 | | | 141,120 | |
| | 95,000 | | | A- | | 3.910% due 10/1/50 | | | 75,745 | |
| | 205,000 | | | AA | | Corewell Health Obligated Group, Senior Unsecured Notes, 3.487% due 7/15/49 | | | 161,562 | |
| | 205,000 | | | AA- | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | 174,704 | |
| | | | | | Elevance Health Inc., Senior Unsecured Notes: | | | | |
| | 170,000 | | | A | | 3.650% due 12/1/27 | | | 166,337 | |
| | 300,000 | | | A | | 4.100% due 5/15/32 | | | 289,727 | |
| | 247,000 | | | A | | 4.550% due 3/1/48 | | | 218,380 | |
| | 25,000 | | | A | | 3.125% due 5/15/50 | | | 17,457 | |
| | 50,000 | | | A | | 3.600% due 3/15/51 | | | 37,512 | |
| | 165,000 | | | A | | 4.550% due 5/15/52 | | | 144,255 | |
| | 116,000 | | | A | | 6.100% due 10/15/52 | | | 126,491 | |
| | 140,000 | | | A | | Franciscan Missionaries of Our Lady Health System Inc., Secured Notes, 3.914% due 7/1/49 | | | 113,340 | |
| | | | | | HCA Inc., Company Guaranteed Notes: | | | | |
| | 236,000 | | | BBB- | | 5.250% due 6/15/26 | | | 236,892 | |
| | 681,000 | | | BBB- | | 5.200% due 6/1/28 | | | 693,158 | |
| | 90,000 | | | BBB- | | 5.875% due 2/1/29 | | | 93,530 | |
| | 104,000 | | | BBB- | | 4.125% due 6/15/29 | | | 101,499 | |
| | 805,000 | | | BBB- | | 3.500% due 9/1/30 | | | 750,738 | |
| | 1,615,000 | | | BBB- | | 5.450% due 4/1/31 | | | 1,658,060 | |
| | 845,000 | | | BBB- | | 5.450% due 9/15/34 | | | 856,759 | |
| | 25,000 | | | BBB- | | 5.125% due 6/15/39 | | | 24,188 | |
See Notes to Financial Statements.
147
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Services — 0.6% — (continued) | |
| $ | 200,000 | | | BBB- | | 5.500% due 6/15/47 | | $ | 193,916 | |
| | 178,000 | | | BBB- | | 3.500% due 7/15/51 | | | 125,252 | |
| | 41,000 | | | AA | | Hoag Memorial Hospital Presbyterian, Unsecured Notes, 3.803% due 7/15/52 | | | 33,912 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB | | 4.500% due 4/1/25 | | | 19,902 | |
| | 107,000 | | | BBB | | 1.350% due 2/3/27 | | | 99,136 | |
| | 270,000 | | | BBB | | 3.950% due 3/15/27 | | | 265,969 | |
| | 50,000 | | | BBB | | 2.150% due 2/3/32 | | | 41,527 | |
| | 25,000 | | | BBB | | 5.875% due 3/1/33 | | | 26,308 | |
| | 25,000 | | | BBB | | 5.950% due 3/15/34 | | | 26,464 | |
| | 70,000 | | | BBB | | 4.625% due 12/1/42 | | | 61,695 | |
| | 40,000 | | | BBB | | 4.950% due 10/1/44 | | | 36,450 | |
| | 25,000 | | | BBB | | 3.950% due 8/15/49 | | | 19,488 | |
| | 25,000 | | | BBB | | 5.500% due 3/15/53 | | | 24,255 | |
| | 275,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 4.875% due 4/1/42 | | | 270,252 | |
| | 360,000 | | | CCC | | ModivCare Escrow Issuer Inc., Senior Unsecured Notes, 5.000% due 10/1/29(a) | | | 257,897 | |
| | 88,000 | | | A+ | | Mount Nittany Medical Center Obligated Group, Unsecured Notes, 3.799% due 11/15/52 | | | 70,852 | |
| | 90,000 | | | Aa2(b) | | Nationwide Children’s Hospital Inc., Unsecured Notes, 4.556% due 11/1/52 | | | 86,323 | |
| | 90,000 | | | AA- | | Presbyterian Healthcare Services, Unsecured Notes, 4.875% due 8/1/52 | | | 89,063 | |
| | 110,000 | | | AA- | | Queen’s Health Systems (The), Secured Notes, 4.810% due 7/1/52 | | | 106,876 | |
| | 240,000 | | | AA | | Roche Holdings Inc., Company Guaranteed Notes, 2.607% due 12/13/51(a) | | | 156,316 | |
| | 65,000 | | | Aa2(b) | | Seattle Children’s Hospital, Unsecured Notes, 2.719% due 10/1/50 | | | 43,606 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A+ | | 1.250% due 1/15/26 | | | 57,557 | |
| | 200,000 | | | A+ | | 3.450% due 1/15/27 | | | 196,877 | |
| | 100,000 | | | A+ | | 2.950% due 10/15/27 | | | 96,547 | |
| | 100,000 | | | A+ | | 3.850% due 6/15/28 | | | 98,769 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 49,299 | |
| | 100,000 | | | A+ | | 4.250% due 1/15/29 | | | 100,109 | |
| | 90,000 | | | A+ | | 4.000% due 5/15/29 | | | 89,102 | |
| | 50,000 | | | A+ | | 2.000% due 5/15/30 | | | 44,102 | |
| | 100,000 | | | A+ | | 2.300% due 5/15/31 | | | 87,406 | |
| | 510,000 | | | A+ | | 4.200% due 5/15/32 | | | 498,485 | |
| | 50,000 | | | A+ | | 4.500% due 4/15/33 | | | 49,481 | |
| | 170,000 | | | A+ | | 5.000% due 4/15/34 | | | 172,913 | |
| | 25,000 | | | A+ | | 5.800% due 3/15/36 | | | 27,084 | |
| | 50,000 | | | A+ | | 3.500% due 8/15/39 | | | 42,073 | |
| | 25,000 | | | A+ | | 2.750% due 5/15/40 | | | 18,729 | |
| | 223,000 | | | A+ | | 3.750% due 10/15/47 | | | 179,169 | |
| | 65,000 | | | A+ | | 4.250% due 6/15/48 | | | 56,265 | |
| | 30,000 | | | A+ | | 4.450% due 12/15/48 | | | 26,932 | |
| | 375,000 | | | A+ | | 3.700% due 8/15/49 | | | 296,628 | |
| | 20,000 | | | A+ | | 2.900% due 5/15/50 | | | 13,677 | |
| | 474,000 | | | A+ | | 3.250% due 5/15/51 | | | 342,936 | |
| | 50,000 | | | A+ | | 4.750% due 5/15/52 | | | 46,540 | |
| | 50,000 | | | A+ | | 5.050% due 4/15/53 | | | 48,567 | |
| | 120,000 | | | A+ | | 3.875% due 8/15/59 | | | 93,297 | |
| | 70,000 | | | A+ | | 3.125% due 5/15/60 | | | 46,794 | |
| | 115,000 | | | A+ | | 4.950% due 5/15/62 | | | 107,691 | |
| | 53,000 | | | A+ | | 5.200% due 4/15/63 | | | 51,532 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 11,895,686 | |
| | | | | | | | | | |
|
| Home Builders — 0.0%@ | |
| | 130,000 | | | BBB | | Lennar Corp., Company Guaranteed Notes, 4.750% due 11/29/27 | | | 131,175 | |
| | 35,000 | | | BBB | | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | | | 36,868 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 168,043 | |
| | | | | | | | | | |
See Notes to Financial Statements.
148
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Household Products/Wares — 0.0%@ | |
| $ | 25,000 | | | A | | Kimberly-Clark Corp., Senior Unsecured Notes, 3.200% due 7/30/46 | | $ | 18,769 | |
| | | | | | | | | | |
|
| Insurance — 1.4% | |
| | | | | | Aflac Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 1.125% due 3/15/26 | | | 23,759 | |
| | 25,000 | | | A- | | 3.600% due 4/1/30 | | | 23,887 | |
| | 25,000 | | | A- | | 4.750% due 1/15/49 | | | 23,377 | |
| | 1,000,000 | | | A+ | | Allianz SE, Subordinated Notes, 6.350% (5-Year CMT Index + 3.232%) due 9/6/53(a)(d) | | | 1,066,299 | |
| | | | | | Allstate Corp. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 1.450% due 12/15/30 | | | 20,736 | |
| | 25,000 | | | BBB+ | | 5.250% due 3/30/33 | | | 25,903 | |
| | 25,000 | | | BBB+ | | 4.200% due 12/15/46 | | | 21,354 | |
| | 25,000 | | | BBB+ | | 3.850% due 8/10/49 | | | 20,139 | |
| | | | | | American International Group Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 5.125% due 3/27/33 | | | 51,053 | |
| | 83,000 | | | BBB+ | | 4.750% due 4/1/48 | | | 76,758 | |
| | 25,000 | | | BBB+ | | 4.375% due 6/30/50 | | | 21,802 | |
| | | | | | Aon Corp., Company Guaranteed Notes: | | | | |
| | 22,000 | | | A- | | 4.500% due 12/15/28 | | | 21,979 | |
| | 124,000 | | | A- | | 3.750% due 5/2/29 | | | 120,176 | |
| | 288,000 | | | A- | | 2.800% due 5/15/30 | | | 262,537 | |
| | 50,000 | | | A- | | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes, 5.350% due 2/28/33 | | | 51,618 | |
| | | | | | Aon North America Inc., Company Guaranteed Notes: | | | | |
| | 770,000 | | | A- | | 5.450% due 3/1/34 | | | 797,725 | |
| | 50,000 | | | A- | | 5.750% due 3/1/54 | | | 51,941 | |
| | 25,000 | | | BBB+ | | Arch Capital Group Ltd., Senior Unsecured Notes, 3.635% due 6/30/50 | | | 18,970 | |
| | | | | | Arthur J. Gallagher & Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 5.450% due 7/15/34 | | | 25,733 | |
| | 25,000 | | | BBB | | 3.500% due 5/20/51 | | | 18,111 | |
| | 25,000 | | | BBB | | 5.750% due 3/2/53 | | | 25,440 | |
| | 680,000 | | | BBB | | 6.750% due 2/15/54 | | | 786,901 | |
| | 25,000 | | | BBB | | 5.750% due 7/15/54 | | | 25,601 | |
| | 25,000 | | | A | | Assured Guaranty US Holdings Inc., Company Guaranteed Notes, 3.150% due 6/15/31 | | | 22,322 | |
| | | | | | Athene Holding Ltd., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 6.150% due 4/3/30 | | | 26,671 | |
| | 25,000 | | | A- | | 3.500% due 1/15/31 | | | 23,034 | |
| | 25,000 | | | A- | | 5.875% due 1/15/34 | | | 25,877 | |
| | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | | |
| | 25,000 | | | AA | | 1.450% due 10/15/30 | | | 21,366 | |
| | 50,000 | | | AA | | 2.875% due 3/15/32 | | | 45,612 | |
| | 25,000 | | | AA | | 5.750% due 1/15/40 | | | 27,729 | |
| | 25,000 | | | AA | | 4.400% due 5/15/42 | | | 24,094 | |
| | 50,000 | | | AA | | 4.200% due 8/15/48 | | | 45,004 | |
| | 460,000 | | | AA | | 4.250% due 1/15/49 | | | 418,919 | |
| | 50,000 | | | AA | | 2.850% due 10/15/50 | | | 34,476 | |
| | 25,000 | | | AA | | 2.500% due 1/15/51 | | | 16,194 | |
| | 75,000 | | | AA | | 3.850% due 3/15/52 | | | 61,930 | |
| | 25,000 | | | AA | | Berkshire Hathaway Inc., Senior Unsecured Notes, 4.500% due 2/11/43 | | | 24,511 | |
| | 25,000 | | | BBB+ | | Brighthouse Financial Inc., Senior Unsecured Notes, 5.625% due 5/15/30 | | | 25,517 | |
| | | | | | Brown & Brown Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 4.500% due 3/15/29 | | | 24,859 | |
| | 25,000 | | | BBB- | | 2.375% due 3/15/31 | | | 21,350 | |
| | | | | | Chubb INA Holdings LLC, Company Guaranteed Notes: | | | | |
| | 95,000 | | | A | | 3.350% due 5/3/26 | | | 93,352 | |
| | 25,000 | | | A | | 1.375% due 9/15/30 | | | 21,229 | |
See Notes to Financial Statements.
149
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Insurance — 1.4% — (continued) | |
| $ | 25,000 | | | A | | 4.150% due 3/13/43 | | $ | 22,029 | |
| | 50,000 | | | A | | 3.050% due 12/15/61 | | | 33,387 | |
| | 750,000 | | | BBB+ | | Cincinnati Financial Corp., Senior Unsecured Notes, 6.125% due 11/1/34 | | | 802,764 | |
| | 25,000 | | | A- | | CNA Financial Corp., Senior Unsecured Notes, 5.500% due 6/15/33 | | | 25,987 | |
| | | | | | Corebridge Financial Inc.: | | | | |
| | 25,000 | | | BBB- | | Junior Subordinated Notes, 6.875% (5-Year CMT Index + 3.846%) due 12/15/52(d) | | | 25,554 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.650% due 4/5/27 | | | 48,953 | |
| | 50,000 | | | BBB+ | | 3.850% due 4/5/29 | | | 48,278 | |
| | 25,000 | | | BBB+ | | 6.050% due 9/15/33 | | | 26,613 | |
| | 25,000 | | | BBB+ | | 5.750% due 1/15/34 | | | 26,100 | |
| | 25,000 | | | BBB+ | | 4.350% due 4/5/42 | | | 21,595 | |
| | 25,000 | | | BBB+ | | 4.400% due 4/5/52 | | | 20,836 | |
| | | | | | Equitable Holdings Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 4.350% due 4/20/28 | | | 24,693 | |
| | 25,000 | | | A- | | 5.594% due 1/11/33 | | | 25,882 | |
| | 17,000 | | | A- | | 5.000% due 4/20/48 | | | 15,916 | |
| | | | | | Everest Reinsurance Holdings Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.500% due 10/15/50 | | | 17,615 | |
| | 25,000 | | | BBB+ | | 3.125% due 10/15/52 | | | 16,413 | |
| | 25,000 | | | BBB+ | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 6.000% due 12/7/33(a) | | | 26,122 | |
| | 25,000 | | | BBB | | Fidelity National Financial Inc., Senior Unsecured Notes, 3.400% due 6/15/30 | | | 23,011 | |
| | 615,000 | | | AA- | | Guardian Life Insurance Co. of America (The), Subordinated Notes, 4.850% due 1/24/77(a) | | | 560,327 | |
| | 25,000 | | | BBB | | Hanover Insurance Group Inc. (The), Senior Unsecured Notes, 4.500% due 4/15/26 | | | 24,917 | |
| | | | | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 98,000 | | | BBB+ | | 5.950% due 10/15/36 | | | 105,871 | |
| | 4,000 | | | BBB+ | | 4.300% due 4/15/43 | | | 3,541 | |
| | 1,000,000 | | | BBB | | Hill City Funding Trust, Senior Unsecured Notes, 4.046% due 8/15/41(a) | | | 800,464 | |
| | 25,000 | | | BBB | | Jackson Financial Inc., Senior Unsecured Notes, 3.125% due 11/23/31 | | | 21,656 | |
| | 25,000 | | | BBB- | | Kemper Corp., Senior Unsecured Notes, 3.800% due 2/23/32 | | | 22,275 | |
| | | | | | Lincoln National Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.625% due 12/12/26 | | | 24,516 | |
| | 25,000 | | | BBB+ | | 3.800% due 3/1/28 | | | 24,318 | |
| | 25,000 | | | BBB+ | | 3.050% due 1/15/30 | | | 23,033 | |
| | 1,170,000 | | | BBB+ | | 5.852% due 3/15/34 | | | 1,221,058 | |
| | 500,000 | | | BBB+ | | 4.350% due 3/1/48 | | | 400,690 | |
| | 25,000 | | | A | | Loews Corp., Senior Unsecured Notes, 3.200% due 5/15/30 | | | 23,382 | |
| | | | | | Manulife Financial Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 4.150% due 3/4/26 | | | 24,882 | |
| | 25,000 | | | A | | 5.375% due 3/4/46 | | | 25,553 | |
| | | | | | Markel Group Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 3.350% due 9/17/29 | | | 23,590 | |
| | 25,000 | | | BBB | | 5.000% due 4/5/46 | | | 22,870 | |
| | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | | |
| | 540,000 | | | A- | | 2.250% due 11/15/30 | | | 478,089 | |
| | 25,000 | | | A- | | 5.450% due 3/15/53 | | | 25,684 | |
| | 25,000 | | | A- | | 5.700% due 9/15/53 | | | 26,657 | |
| | | | | | MetLife Inc.: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 1,500,000 | | | BBB | | 3.850% (5-Year CMT Index + 3.576%)(d)(e) | | | 1,471,149 | |
| | 640,000 | | | BBB | | 6.400% due 12/15/36 | | | 674,449 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 5.375% due 7/15/33 | | | 52,412 | |
| | 25,000 | | | A- | | 6.375% due 6/15/34 | | | 27,962 | |
| | 25,000 | | | A- | | 5.700% due 6/15/35 | | | 26,828 | |
See Notes to Financial Statements.
150
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Insurance — 1.4% — (continued) | |
| $ | 25,000 | | | A- | | 4.125% due 8/13/42 | | $ | 21,774 | |
| | 25,000 | | | A- | | 4.875% due 11/13/43 | | | 23,861 | |
| | 25,000 | | | A- | | 4.721% due 12/15/44 | | | 23,066 | |
| | 25,000 | | | A- | | 4.050% due 3/1/45 | | | 21,218 | |
| | 50,000 | | | A- | | 5.000% due 7/15/52 | | | 48,319 | |
| | 25,000 | | | A- | | 5.250% due 1/15/54 | | | 25,170 | |
| | 1,590,000 | | | AA- | | Metropolitan Life Global Funding I, Senior Secured Notes, 5.150% due 3/28/33(a) | | | 1,633,733 | |
| | 500,000 | | | A- | | National Life Insurance Co., Subordinated Notes, 5.250%
(3-Month USD-LIBOR + 3.314%) due 7/19/68(a)(d) | | | 435,414 | |
| | | | | | Nippon Life Insurance Co., Subordinated Notes: | | | | |
| | 750,000 | | | A- | | 2.900% (5-Year CMT Index + 2.600%) due 9/16/51(a)(d) | | | 644,476 | |
| | 2,570,000 | | | A- | | 5.950% (5-Year CMT Index + 2.590%) due 4/16/54(a)(d) | | | 2,670,491 | |
| | 500,000 | | | AA- | | Northwestern Mutual Life Insurance Co. (The), Subordinated Notes, 3.625% due 9/30/59(a) | | | 363,757 | |
| | 25,000 | | | BBB+ | | Old Republic International Corp., Senior Unsecured Notes, 3.850% due 6/11/51 | | | 18,335 | |
| | 1,000,000 | | | BBB | | PartnerRe Finance B LLC, Company Guaranteed Notes, 4.500%
(5-Year CMT Index + 3.815%) due 10/1/50(d) | | | 921,402 | |
| | 1,330,000 | | | A- | | Pine Street Trust III, Senior Unsecured Notes, 6.223% due 5/15/54(a) | | | 1,412,501 | |
| | | | | | Principal Financial Group Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | A- | | 3.700% due 5/15/29 | | | 24,151 | |
| | 25,000 | | | A- | | 2.125% due 6/15/30 | | | 21,754 | |
| | 25,000 | | | A- | | 5.375% due 3/15/33 | | | 25,798 | |
| | 25,000 | | | A- | | 5.500% due 3/15/53 | | | 25,244 | |
| | | | | | Progressive Corp. (The), Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 3.200% due 3/26/30 | | | 23,591 | |
| | 50,000 | | | A | | 3.000% due 3/15/32 | | | 45,400 | |
| | 25,000 | | | A | | 4.950% due 6/15/33 | | | 25,717 | |
| | 25,000 | | | A | | 4.200% due 3/15/48 | | | 21,833 | |
| | 25,000 | | | A | | 3.950% due 3/26/50 | | | 20,741 | |
| | 25,000 | | | A | | 3.700% due 3/15/52 | | | 19,768 | |
| | | | | | Prudential Financial Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 3.878% due 3/27/28 | | | 24,589 | |
| | 25,000 | | | A | | 2.100% due 3/10/30 | | | 22,258 | |
| | 50,000 | | | A | | 5.750% due 7/15/33 | | | 54,673 | |
| | 25,000 | | | A | | 5.700% due 12/14/36 | | | 26,730 | |
| | 25,000 | | | A | | 3.000% due 3/10/40 | | | 19,419 | |
| | 50,000 | | | A | | 3.905% due 12/7/47 | | | 40,425 | |
| | 25,000 | | | A | | 3.935% due 12/7/49 | | | 20,186 | |
| | 50,000 | | | A | | 4.350% due 2/25/50 | | | 43,497 | |
| | 100,000 | | | A | | 3.700% due 3/13/51 | | | 77,170 | |
| | 1,025,000 | | | A | | Reinsurance Group of America Inc., Senior Unsecured Notes, 6.000% due 9/15/33 | | | 1,083,174 | |
| | 775,000 | | | BBB+ | | RenaissanceRe Holdings Ltd., Senior Unsecured Notes, 5.750% due 6/5/33 | | | 802,021 | |
| | 1,063,000 | | | AA- | | RGA Global Funding, Secured Notes, 6.000% due 11/21/28(a) | | | 1,117,876 | |
| | 500,000 | | | BBB+ | | Sammons Financial Group Inc., Senior Unsecured Notes, 4.750% due 4/8/32(a) | | | 462,408 | |
| | 750,000 | | | A | | Swiss Re Finance Luxembourg SA, Company Guaranteed Notes, 5.000%
(5-Year CMT Index + 3.582%) due 4/2/49(a)(d) | | | 748,980 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 20,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 23,503 | |
| | 350,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 328,968 | |
| | 25,000 | | | BBB | | Unum Group, Senior Unsecured Notes, 4.125% due 6/15/51 | | | 19,227 | |
| | | | | | Willis North America Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.500% due 9/15/28 | | | 24,879 | |
| | 25,000 | | | BBB+ | | 2.950% due 9/15/29 | | | 23,101 | |
| | 25,000 | | | BBB+ | | 5.900% due 3/5/54 | | | 25,786 | |
| | 25,000 | | | BBB+ | | WR Berkley Corp., Senior Unsecured Notes, 3.550% due 3/30/52 | | | 18,392 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 25,498,542 | |
| | | | | | | | | | |
See Notes to Financial Statements.
151
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Internet — 0.7% | |
| | | | | | Alphabet Inc., Senior Unsecured Notes: | | | | |
| $ | 80,000 | | | AA+ | | 1.100% due 8/15/30 | | $ | 67,774 | |
| | 90,000 | | | AA+ | | 1.900% due 8/15/40 | | | 62,514 | |
| | 100,000 | | | AA+ | | 2.050% due 8/15/50 | | | 60,364 | |
| | 50,000 | | | AA+ | | 2.250% due 8/15/60 | | | 30,186 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 250,000 | | | AA | | 1.000% due 5/12/26 | | | 237,274 | |
| | 260,000 | | | AA | | 3.300% due 4/13/27 | | | 254,911 | |
| | 240,000 | | | AA | | 1.200% due 6/3/27 | | | 222,013 | |
| | 220,000 | | | AA | | 3.150% due 8/22/27 | | | 214,698 | |
| | 130,000 | | | AA | | 3.450% due 4/13/29 | | | 127,076 | |
| | 120,000 | | | AA | | 1.500% due 6/3/30 | | | 103,808 | |
| | 320,000 | | | AA | | 2.100% due 5/12/31 | | | 279,915 | |
| | 360,000 | | | AA | | 3.600% due 4/13/32 | | | 343,414 | |
| | 1,130,000 | | | AA | | 3.875% due 8/22/37 | | | 1,039,356 | |
| | 50,000 | | | AA | | 2.875% due 5/12/41 | | | 38,931 | |
| | 210,000 | | | AA | | 4.950% due 12/5/44 | | | 212,613 | |
| | 200,000 | | | AA | | 4.050% due 8/22/47 | | | 174,524 | |
| | 275,000 | | | AA | | 2.500% due 6/3/50 | | | 176,905 | |
| | 75,000 | | | AA | | 3.100% due 5/12/51 | | | 54,242 | |
| | 75,000 | | | AA | | 3.950% due 4/13/52 | | | 63,234 | |
| | 115,000 | | | AA | | 4.250% due 8/22/57 | | | 101,566 | |
| | 50,000 | | | AA | | 2.700% due 6/3/60 | | | 31,226 | |
| | 50,000 | | | AA | | 3.250% due 5/12/61 | | | 35,179 | |
| | 25,000 | | | AA | | 4.100% due 4/13/62 | | | 21,051 | |
| | | | | | eBay Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 1.400% due 5/10/26 | | | 47,412 | |
| | 25,000 | | | BBB+ | | 3.650% due 5/10/51 | | | 18,800 | |
| | 1,000,000 | EUR | | B- | | Engineering — Ingegneria Informatica — SpA, Senior Secured Notes, 5.875% due 9/30/26(a) | | | 1,074,872 | |
| | 1,000,000 | | | BB+ | | MercadoLibre Inc., Company Guaranteed Notes, 3.125% due 1/14/31 | | | 891,633 | |
| | | | | | Meta Platforms Inc., Senior Unsecured Notes: | | | | |
| | 450,000 | | | AA- | | 4.750% due 8/15/34 | | | 453,122 | |
| | 375,000 | | | AA- | | 4.450% due 8/15/52 | | | 336,199 | |
| | 215,000 | | | AA- | | 4.650% due 8/15/62 | | | 194,168 | |
| | 2,110,000 | | | AA- | | 5.550% due 8/15/64 | | | 2,175,734 | |
| | 25,000 | | | A | | Netflix Inc., Senior Unsecured Notes, 4.900% due 8/15/34 | | | 25,605 | |
| | 1,340,000 | | | BBB | | Prosus NV, Senior Unsecured Notes, 3.061% due 7/13/31(a) | | | 1,148,072 | |
| | 1,895,000 | | | BBB- | | Uber Technologies Inc., Company Guaranteed Notes, 4.500% due 8/15/29(a) | | | 1,860,636 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 12,179,027 | |
| | | | | | | | | | |
|
| Investment Companies — 0.1% | |
| | | | | | Ares Capital Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 2.150% due 7/15/26 | | | 23,589 | |
| | 25,000 | | | BBB- | | 7.000% due 1/15/27 | | | 25,940 | |
| | 550,000 | | | BBB- | | 2.875% due 6/15/28 | | | 502,605 | |
| | 25,000 | | | BBB- | | 5.875% due 3/1/29 | | | 25,429 | |
| | | | | | Blackstone Private Credit Fund, Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB- | | 2.625% due 12/15/26 | | | 46,933 | |
| | 50,000 | | | BBB- | | 3.250% due 3/15/27 | | | 47,357 | |
| | 25,000 | | | BBB- | | 6.250% due 1/25/31(a) | | | 25,577 | |
| | | | | | Blackstone Secured Lending Fund, Senior Unsecured Notes: | | | | |
| | 25,000 | | | Baa3(b) | | 2.750% due 9/16/26 | | | 23,733 | |
| | 25,000 | | | Baa3(b) | | 2.850% due 9/30/28 | | | 22,651 | |
See Notes to Financial Statements.
152
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Investment Companies — 0.1% — (continued) | |
| | | | | | Blue Owl Capital Corp., Senior Unsecured Notes: | | | | |
| $ | 25,000 | | | BBB- | | 4.250% due 1/15/26 | | $ | 24,672 | |
| | 25,000 | | | BBB- | | 3.400% due 7/15/26 | | | 24,087 | |
| | | | | | Blue Owl Credit Income Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 4.700% due 2/8/27 | | | 24,420 | |
| | 25,000 | | | BBB- | | 7.750% due 9/16/27 | | | 26,334 | |
| | 25,000 | | | BBB- | | 7.750% due 1/15/29 | | | 26,614 | |
| | | | | | FS KKR Capital Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | Baa3(b) | | 3.400% due 1/15/26 | | | 48,565 | |
| | 25,000 | | | Baa3(b) | | 3.125% due 10/12/28 | | | 22,431 | |
| | 200,000 | | | A1(b) | | Gaci First Investment Co., Company Guaranteed Notes, (Cost — $204,022, acquired 3/14/23), 5.250% due 10/13/32(c) | | | 205,889 | |
| | | | | | Golub Capital BDC Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 2.500% due 8/24/26 | | | 23,549 | |
| | 25,000 | | | BBB- | | 6.000% due 7/15/29 | | | 25,208 | |
| | | | | | | | | | |
| | | | | | Total Investment Companies | | | 1,195,583 | |
| | | | | | | | | | |
|
| Iron/Steel — 0.0%@ | |
| | | | | | ArcelorMittal SA, Senior Unsecured Notes: | | | | |
| | 55,000 | | | BBB- | | 7.000% due 10/15/39 | | | 61,206 | |
| | 25,000 | | | BBB- | | 6.750% due 3/1/41 | | | 26,720 | |
| | | | | | Nucor Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 6.400% due 12/1/37 | | | 28,418 | |
| | 25,000 | | | A- | | 3.850% due 4/1/52 | | | 19,892 | |
| | 25,000 | | | A- | | 2.979% due 12/15/55 | | | 15,977 | |
| | 25,000 | | | BBB+ | | Reliance Inc., Senior Unsecured Notes, 2.150% due 8/15/30 | | | 21,810 | |
| | 25,000 | | | BBB | | Steel Dynamics Inc., Senior Unsecured Notes, 3.250% due 10/15/50 | | | 17,076 | |
| | | | | | Vale Overseas Ltd., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB- | | 6.875% due 11/21/36 | | | 27,535 | |
| | 25,000 | | | BBB- | | 6.875% due 11/10/39 | | | 27,322 | |
| | 25,000 | | | BBB- | | Vale SA, Senior Unsecured Notes, 5.625% due 9/11/42 | | | 25,227 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 271,183 | |
| | | | | | | | | | |
|
| Leisure Time — 0.1% | |
| | 540,000 | | | BB | | NCL Corp., Ltd., Senior Secured Notes, 8.125% due 1/15/29(a) | | | 577,978 | |
| | | | | | Royal Caribbean Cruises Ltd., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 5.500% due 4/1/28(a) | | | 60,499 | |
| | 140,000 | | | BB+ | | 6.250% due 3/15/32(a) | | | 144,655 | |
| | 480,000 | | | BB+ | | 6.000% due 2/1/33(a) | | | 491,847 | |
| | 920,000 | | | B- | | Sabre GLBL Inc., Senior Secured Notes, 11.250% due 12/15/27(a) | | | 932,598 | |
| | 380,000 | | | B+ | | Viking Cruises Ltd., Senior Unsecured Notes, 7.000% due 2/15/29(a) | | | 385,231 | |
| | 110,000 | | | BB | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 107,980 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 2,700,788 | |
| | | | | | | | | | |
|
| Lodging — 0.3% | |
| | | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes: | | | | |
| | 300,000 | | | BB+ | | 3.625% due 2/15/32(a) | | | 269,093 | |
| | 160,000 | | | BB+ | | 6.125% due 4/1/32(a) | | | 164,117 | |
| | | | | | Las Vegas Sands Corp., Senior Unsecured Notes: | | | | |
| | 1,250,000 | | | BB+ | | 2.900% due 6/25/25 | | | 1,224,318 | |
| | 110,000 | | | BB+ | | 3.900% due 8/8/29 | | | 103,305 | |
| | 160,000 | | | BB+ | | 6.000% due 8/15/29 | | | 164,174 | |
| | 1,190,000 | | | BB+ | | 6.200% due 8/15/34 | | | 1,218,529 | |
| | 155,000 | | | BBB | | Marriott International Inc., Senior Unsecured Notes, 5.300% due 5/15/34 | | | 157,830 | |
| | 210,000 | | | BB- | | Melco Resorts Finance Ltd., Senior Unsecured Notes, 7.625% due 4/17/32(a) | | | 210,663 | |
See Notes to Financial Statements.
153
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Lodging — 0.3% — (continued) | |
| | | | | | Sands China Ltd., Senior Unsecured Notes: | | | | |
| $ | 1,150,000 | | | BBB- | | 5.125% due 8/8/25 | | $ | 1,144,775 | |
| | 550,000 | | | BBB- | | 2.300% due 3/8/27 | | | 509,578 | |
| | 200,000 | | | BBB- | | 5.400% due 8/8/28 | | | 199,677 | |
| | 200,000 | | | BBB- | | 2.850% due 3/8/29 | | | 179,351 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 5,545,410 | |
| | | | | | | | | | |
|
| Machinery — Construction & Mining — 0.0%@ | |
| | | | | | Caterpillar Financial Services Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A | | 0.800% due 11/13/25 | | | 191,575 | |
| | 200,000 | | | A | | 1.700% due 1/8/27 | | | 188,968 | |
| | 50,000 | | | A | | 4.500% due 1/8/27 | | | 50,379 | |
| | | | | | Caterpillar Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 3.803% due 8/15/42 | | | 42,796 | |
| | 50,000 | | | A | | 3.250% due 4/9/50 | | | 37,437 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Construction & Mining | | | 511,155 | |
| | | | | | | | | | |
|
| Machinery — Diversified — 0.1% | |
| | 185,000 | | | BBB+ | | CNH Industrial Capital LLC, Company Guaranteed Notes, 4.550% due 4/10/28 | | | 184,715 | |
| | | | | | Deere & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 3.100% due 4/15/30 | | | 37,613 | |
| | 25,000 | | | A | | 3.900% due 6/9/42 | | | 21,918 | |
| | 155,000 | | | A | | 3.750% due 4/15/50 | | | 129,203 | |
| | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 4.750% due 6/8/26 | | | 50,394 | |
| | 50,000 | | | A | | 1.050% due 6/17/26 | | | 47,286 | |
| | 100,000 | | | A | | 1.700% due 1/11/27 | | | 94,417 | |
| | 100,000 | | | A | | 1.750% due 3/9/27 | | | 94,112 | |
| | 400,000 | EUR | | B | | Nova Alexandre III SAS, Senior Secured Notes, 8.935%
(3-Month EURIBOR + 5.250%) due 7/15/29(a)(d) | | | 448,284 | |
| | | | | | Otis Worldwide Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.056% due 4/5/25 | | | 78,605 | |
| | 29,000 | | | BBB | | 5.250% due 8/16/28 | | | 29,851 | |
| | 210,000 | | | BBB | | 2.565% due 2/15/30 | | | 189,721 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 1,406,119 | |
| | | | | | | | | | |
|
| Media — 1.1% | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 87,240 | |
| | 100,000 | | | BB- | | 4.500% due 5/1/32 | | | 85,477 | |
| | 370,000 | | | BB- | | 4.500% due 6/1/33(a) | | | 309,357 | |
| | 790,000 | | | BB- | | 4.250% due 1/15/34(a) | | | 639,058 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 100,000 | | | BBB- | | 4.908% due 7/23/25 | | | 99,690 | |
| | 100,000 | | | BBB- | | 6.150% due 11/10/26 | | | 102,463 | |
| | 410,000 | | | BBB- | | 3.750% due 2/15/28 | | | 392,310 | |
| | 460,000 | | | BBB- | | 4.200% due 3/15/28 | | | 445,310 | |
| | 650,000 | | | BBB- | | 5.050% due 3/30/29 | | | 643,645 | |
| | 1,425,000 | | | BBB- | | 6.100% due 6/1/29 | | | 1,472,924 | |
| | 330,000 | | | BBB- | | 2.300% due 2/1/32 | | | 263,856 | |
| | 210,000 | | | BBB- | | 4.400% due 4/1/33 | | | 191,179 | |
| | 130,000 | | | BBB- | | 6.550% due 6/1/34 | | | 134,825 | |
| | 50,000 | | | BBB- | | 6.384% due 10/23/35 | | | 50,686 | |
| | 50,000 | | | BBB- | | 5.375% due 4/1/38 | | | 45,561 | |
| | 50,000 | | | BBB- | | 3.500% due 3/1/42 | | | 34,524 | |
See Notes to Financial Statements.
154
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 1.1% — (continued) | |
| $ | 560,000 | | | BBB- | | 5.375% due 5/1/47 | | $ | 468,424 | |
| | 402,000 | | | BBB- | | 5.750% due 4/1/48 | | | 349,907 | |
| | 415,000 | | | BBB- | | 5.125% due 7/1/49 | | | 333,550 | |
| | 580,000 | | | BBB- | | 4.800% due 3/1/50 | | | 442,349 | |
| | 422,000 | | | BBB- | | 3.700% due 4/1/51 | | | 268,616 | |
| | 396,000 | | | BBB- | | 3.900% due 6/1/52 | | | 260,042 | |
| | 515,000 | | | BBB- | | 5.250% due 4/1/53 | | | 422,877 | |
| | 108,000 | | | BBB- | | 3.850% due 4/1/61 | | | 65,783 | |
| | 101,000 | | | BBB- | | 3.950% due 6/30/62 | | | 62,655 | |
| | 130,000 | | | BBB- | | 5.500% due 4/1/63 | | | 104,925 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 3.950% due 10/15/25 | | | 39,691 | |
| | 80,000 | | | A- | | 3.150% due 3/1/26 | | | 78,521 | |
| | 100,000 | | | A- | | 2.350% due 1/15/27 | | | 95,644 | |
| | 70,000 | | | A- | | 3.300% due 4/1/27 | | | 68,307 | |
| | 1,720,000 | | | A- | | 4.150% due 10/15/28 | | | 1,707,925 | |
| | 90,000 | | | A- | | 3.400% due 4/1/30 | | | 85,337 | |
| | 270,000 | | | A- | | 4.250% due 10/15/30 | | | 267,170 | |
| | 45,000 | | | A- | | 1.950% due 1/15/31 | | | 38,495 | |
| | 188,000 | | | A- | | 1.500% due 2/15/31 | | | 156,408 | |
| | 282,000 | | | A- | | 4.800% due 5/15/33 | | | 284,107 | |
| | 7,000 | | | A- | | 6.500% due 11/15/35 | | | 7,920 | |
| | 25,000 | | | A- | | 3.200% due 7/15/36 | | | 21,140 | |
| | 75,000 | | | A- | | 3.900% due 3/1/38 | | | 66,575 | |
| | 20,000 | | | A- | | 3.250% due 11/1/39 | | | 16,054 | |
| | 20,000 | | | A- | | 3.750% due 4/1/40 | | | 17,038 | |
| | 27,000 | | | A- | | 4.750% due 3/1/44 | | | 25,147 | |
| | 20,000 | | | A- | | 3.400% due 7/15/46 | | | 15,179 | |
| | 30,000 | | | A- | | 4.000% due 8/15/47 | | | 24,696 | |
| | 153,000 | | | A- | | 3.969% due 11/1/47 | | | 125,390 | |
| | 20,000 | | | A- | | 4.000% due 3/1/48 | | | 16,415 | |
| | 43,000 | | | A- | | 3.999% due 11/1/49 | | | 35,111 | |
| | 60,000 | | | A- | | 3.450% due 2/1/50 | | | 44,633 | |
| | 570,000 | | | A- | | 2.800% due 1/15/51 | | | 370,289 | |
| | 149,000 | | | A- | | 2.887% due 11/1/51 | | | 97,864 | |
| | 1,051,000 | | | A- | | 4.049% due 11/1/52 | | | 858,399 | |
| | 389,000 | | | A- | | 2.937% due 11/1/56 | | | 248,253 | |
| | 20,000 | | | A- | | 4.950% due 10/15/58 | | | 18,915 | |
| | 79,000 | | | A- | | 2.650% due 8/15/62 | | | 45,782 | |
| | 600,000 | | | A- | | 2.987% due 11/1/63 | | | 371,918 | |
| | 1,500,000 | | | CCC+ | | CSC Holdings LLC, Company Guaranteed Notes, 4.500% due 11/15/31(a) | | | 998,483 | |
| | 50,000 | | | BBB- | | Discovery Communications LLC, Company Guaranteed Notes, 4.900% due 3/11/26 | | | 49,723 | |
| | | | | | DISH DBS Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 140,000 | | | CCC- | | 7.750% due 7/1/26 | | | 94,331 | |
| | 70,000 | | | CCC- | | 5.125% due 6/1/29 | | | 31,973 | |
| | 60,000 | | | CCC | | Senior Secured Notes, 5.250% due 12/1/26(a) | | | 51,499 | |
| | 421,000 | | | Baa3(b) | | FactSet Research Systems Inc., Senior Unsecured Notes, 3.450% due 3/1/32 | | | 378,816 | |
| | | | | | Fox Corp., Senior Unsecured Notes: | | | | |
| | 220,000 | | | BBB | | 6.500% due 10/13/33 | | | 238,574 | |
| | 290,000 | | | BBB | | 5.476% due 1/25/39 | | | 289,435 | |
| | | | | | Paramount Global, Senior Unsecured Notes: | | | | |
| | 42,000 | | | BB+ | | 5.850% due 9/1/43 | | | 35,870 | |
| | 43,000 | | | BB+ | | 5.250% due 4/1/44 | | | 33,288 | |
| | 34,000 | | | BB+ | | 4.900% due 8/15/44 | | | 25,772 | |
See Notes to Financial Statements.
155
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 1.1% — (continued) | |
| $ | 50,000 | | | BB+ | | 4.600% due 1/15/45 | | $ | 35,973 | |
| | 48,000 | | | BB+ | | 4.950% due 5/19/50 | | | 35,928 | |
| | 710,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.500% due 7/1/29(a) | | | 691,656 | |
| | 290,000 | | | BBB- | | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | | | 330,940 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 75,000 | | | BBB- | | 6.550% due 5/1/37 | | | 74,121 | |
| | 255,000 | | | BBB- | | 7.300% due 7/1/38 | | | 267,235 | |
| | 25,000 | | | BBB- | | 6.750% due 6/15/39 | | | 24,902 | |
| | 270,000 | | | BBB- | | 5.875% due 11/15/40 | | | 244,264 | |
| | 1,852,000 | | | BBB- | | 5.500% due 9/1/41 | | | 1,606,819 | |
| | 200,000 | | | A- | | TWDC Enterprises 18 Corp., Company Guaranteed Notes, 1.850% due 7/30/26 | | | 191,177 | |
| | | | | | Walt Disney Co. (The), Company Guaranteed Notes: | | | | |
| | 200,000 | | | A- | | 3.700% due 3/23/27 | | | 197,588 | |
| | 100,000 | | | A- | | 2.200% due 1/13/28 | | | 93,910 | |
| | 25,000 | | | A- | | 6.200% due 12/15/34 | | | 28,116 | |
| | 25,000 | | | A- | | 6.400% due 12/15/35 | | | 28,404 | |
| | 30,000 | | | A- | | 6.650% due 11/15/37 | | | 35,006 | |
| | 50,000 | | | A- | | 3.500% due 5/13/40 | | | 41,552 | |
| | 50,000 | | | A- | | 2.750% due 9/1/49 | | | 33,286 | |
| | 100,000 | | | A- | | 3.600% due 1/13/51 | | | 78,148 | |
| | 800,000 | EUR | | B- | | Ziggo Bonds Co. BV, Company Guaranteed Notes, 3.375% due 2/28/30(a) | | | 788,705 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 20,081,050 | |
| | | | | | | | | | |
|
| Mining — 0.3% | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 550,000 | | | BBB | | 3.625% due 9/11/24(a) | | | 549,723 | |
| | 270,000 | | | BBB | | 4.750% due 4/10/27(a) | | | 269,750 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 95,000 | | | BBB+ | | 5.700% due 5/30/41 | | | 98,331 | |
| | 225,000 | | | BBB+ | | 5.750% due 5/1/43 | | | 232,868 | |
| | 25,000 | | | BBB+ | | Barrick PD Australia Finance Pty Ltd., Company Guaranteed Notes, 5.950% due 10/15/39 | | | 26,482 | |
| | | | | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 25,000 | | | A- | | 5.250% due 9/8/30 | | | 26,053 | |
| | 50,000 | | | A- | | 5.250% due 9/8/33 | | | 51,664 | |
| | 25,000 | | | A- | | 4.125% due 2/24/42 | | | 22,137 | |
| | 225,000 | | | A- | | 5.000% due 9/30/43 | | | 220,829 | |
| | 25,000 | | | A- | | 5.500% due 9/8/53 | | | 26,171 | |
| | | | | | First Quantum Minerals Ltd.: | | | | |
| | 200,000 | | | B | | Company Guaranteed Notes, 6.875% due 10/15/27(a) | | | 198,576 | |
| | 200,000 | | | B | | Secured Notes, 9.375% due 3/1/29(a) | | | 213,176 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB- | | 4.550% due 11/14/24 | | | 9,974 | |
| | 25,000 | | | BBB- | | 4.125% due 3/1/28 | | | 24,577 | |
| | 70,000 | | | BBB- | | 5.400% due 11/14/34 | | | 71,650 | |
| | 670,000 | | | BBB- | | 5.450% due 3/15/43 | | | 656,401 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 260,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 255,408 | |
| | 1,000,000 | | | BBB+ | | 3.375% due 9/23/51(a) | | | 667,015 | |
| | 25,000 | | | BBB- | | Kinross Gold Corp., Senior Unsecured Notes, 6.250% due 7/15/33 | | | 26,839 | |
| | | | | | Newmont Corp., Company Guaranteed Notes: | | | | |
| | 61,000 | | | BBB+ | | 2.600% due 7/15/32 | | | 53,262 | |
| | 133,000 | | | BBB+ | | 5.875% due 4/1/35 | | | 143,294 | |
| | | | | | Rio Tinto Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 50,000 | | | A | | 5.200% due 11/2/40 | | | 50,617 | |
| | 25,000 | | | A | | 2.750% due 11/2/51 | | | 16,409 | |
See Notes to Financial Statements.
156
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Mining — 0.3% — (continued) | |
| | | | | | Rio Tinto Finance USA PLC, Company Guaranteed Notes: | | | | |
| $ | 50,000 | | | A | | 5.000% due 3/9/33 | | $ | 51,641 | |
| | 25,000 | | | A | | 4.750% due 3/22/42 | | | 24,056 | |
| | 25,000 | | | A | | 4.125% due 8/21/42 | | | 22,066 | |
| | 25,000 | | | A | | 5.125% due 3/9/53 | | | 24,927 | |
| | | | | | Southern Copper Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 6.750% due 4/16/40 | | | 28,174 | |
| | 935,000 | | | BBB+ | | 5.250% due 11/8/42 | | | 903,322 | |
| | 50,000 | | | BBB+ | | 5.875% due 4/23/45 | | | 51,307 | |
| | | | | | Yamana Gold Inc., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB- | | 4.625% due 12/15/27 | | | 89,186 | |
| | 25,000 | | | BBB- | | 2.630% due 8/15/31 | | | 21,398 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 5,127,283 | |
| | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.0%@ | |
| | | | | | 3M Co., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 2.250% due 9/19/26 | | | 47,783 | |
| | 25,000 | | | BBB+ | | 4.000% due 9/14/48 | | | 21,293 | |
| | 50,000 | | | BBB+ | | 3.250% due 8/26/49 | | | 36,338 | |
| | 25,000 | | | BBB+ | | 3.700% due 4/15/50 | | | 19,505 | |
| | | | | | Eaton Corp., Company Guaranteed Notes: | | | | |
| | 185,000 | | | A- | | 4.150% due 11/2/42 | | | 164,699 | |
| | 25,000 | | | A- | | 4.700% due 8/23/52 | | | 23,572 | |
| | 25,000 | | | BBB+ | | Parker-Hannifin Corp., Senior Unsecured Notes, 4.000% due 6/14/49 | | | 20,758 | |
| | 218,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 3.900% due 9/17/29 | | | 210,802 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 544,750 | |
| | | | | | | | | | |
|
| Multi-National — 0.3% | |
| | | | | | Asian Development Bank, Senior Unsecured Notes: | | | | |
| | 200,000 | | | AAA | | 4.250% due 1/9/26 | | | 200,053 | |
| | 200,000 | | | AAA | | 4.125% due 1/12/27 | | | 201,063 | |
| | 200,000 | | | AAA | | 2.500% due 11/2/27 | | | 192,183 | |
| | 1,000,000 | EUR | | Baa1(b) | | Banque Ouest Africaine de Developpement, Senior Unsecured Notes, (Cost — $866,694, acquired 5/30/24), 2.750% due 1/22/33(c) | | | 913,986 | |
| | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 200,000 | | | AAA | | 4.375% due 3/19/27 | | | 202,560 | |
| | 100,000 | | | AAA | | 4.125% due 2/13/34 | | | 101,358 | |
| | | | | | Inter-American Development Bank, Senior Unsecured Notes: | | | | |
| | 200,000 | | | AAA | | 2.000% due 7/23/26 | | | 192,632 | |
| | 200,000 | | | AAA | | 1.500% due 1/13/27 | | | 189,110 | |
| | 200,000 | | | AAA | | 4.375% due 2/1/27 | | | 201,985 | |
| | 253,000,000 | INR | | Aaa(b) | | 7.350% due 10/6/30 | | | 3,082,113 | |
| | | | | | | | | | |
| | | | | | Total Multi-National | | | 5,477,043 | |
| | | | | | | | | | |
|
| Office/Business Equipment — 0.0%@ | |
| | 25,000 | | | BBB- | | CDW LLC/CDW Finance Corp., Company Guaranteed Notes, 3.250% due 2/15/29 | | | 23,459 | |
| | | | | | | | | | |
|
| Oil & Gas — 1.3% | |
| | 2,000,000 | EUR | | BBB | | Aker BP ASA, Senior Unsecured Notes, (Cost — $1,956,812, acquired 3/7/24), 1.125% due 5/12/29(c) | | | 2,001,570 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 7.750% due 12/15/29 | | | 66,382 | |
| | 159,000 | | | BB+ | | 4.250% due 1/15/30 | | | 151,907 | |
| | 79,000 | | | BB+ | | 5.100% due 9/1/40 | | | 69,938 | |
| | 20,000 | | | BB+ | | 5.250% due 2/1/42 | | | 17,855 | |
| | 132,000 | | | BB+ | | 4.750% due 4/15/43 | | | 107,966 | |
See Notes to Financial Statements.
157
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 1.3% — (continued) | |
| $ | 60,000 | | | BB+ | | 4.250% due 1/15/44 | | $ | 44,962 | |
| | 90,000 | | | BB+ | | 5.350% due 7/1/49 | | | 76,777 | |
| | 289,024 | | | BB- | | Borr IHC Ltd./Borr Finance LLC, Senior Secured Notes, 10.000% due 11/15/28(a) | | | 303,449 | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| | 70,000 | | | A- | | 3.410% due 2/11/26 | | | 68,983 | |
| | 250,000 | | | A- | | 3.017% due 1/16/27 | | | 242,797 | |
| | 190,000 | | | A- | | 3.588% due 4/14/27 | | | 186,858 | |
| | 110,000 | | | A- | | 3.633% due 4/6/30 | | | 105,939 | |
| | 50,000 | | | A- | | 4.812% due 2/13/33 | | | 50,064 | |
| | 93,000 | | | A- | | 4.989% due 4/10/34 | | | 94,089 | |
| | 50,000 | | | A- | | 2.772% due 11/10/50 | | | 32,586 | |
| | 100,000 | | | A- | | 2.939% due 6/4/51 | | | 67,334 | |
| | 50,000 | | | A- | | 3.001% due 3/17/52 | | | 33,947 | |
| | 50,000 | | | A- | | 3.379% due 2/8/61 | | | 34,740 | |
| | 1,000,000 | | | BBB | | BP Capital Markets PLC, Company Guaranteed Notes, 6.450%
(5-Year CMT Index + 2.153%)(d)(e) | | | 1,042,815 | |
| | 70,000 | | | AA- | | Chevron Corp., Senior Unsecured Notes, 1.995% due 5/11/27 | | | 66,320 | |
| | | | | | Chevron USA Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | AA- | | 3.850% due 1/15/28 | | | 9,935 | |
| | 25,000 | | | AA- | | 2.343% due 8/12/50 | | | 15,392 | |
| | 25,000 | | | A+ | | CNOOC Petroleum North America ULC, Company Guaranteed Notes, 6.400% due 5/15/37 | | | 29,622 | |
| | 25,000 | | | A- | | ConocoPhillips, Company Guaranteed Notes, 6.500% due 2/1/39 | | | 28,700 | |
| | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | | | |
| | 25,000 | | | A- | | 5.050% due 9/15/33 | | | 25,668 | |
| | 25,000 | | | A- | | 3.800% due 3/15/52 | | | 19,844 | |
| | 50,000 | | | A- | | 5.300% due 5/15/53 | | | 49,868 | |
| | 25,000 | | | A- | | 5.550% due 3/15/54 | | | 25,764 | |
| | 50,000 | | | A- | | 4.025% due 3/15/62 | | | 39,676 | |
| | 25,000 | | | A- | | 5.700% due 9/15/63 | | | 26,170 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 180,000 | | | BBB- | | 2.268% due 11/15/26(a) | | | 170,032 | |
| | 640,000 | | | BBB- | | 4.375% due 1/15/28 | | | 628,102 | |
| | 120,000 | | | BBB- | | 5.750% due 1/15/31(a) | | | 121,808 | |
| | 30,000 | | | BBB- | | 4.900% due 6/1/44 | | | 25,580 | |
| | | | | | Coterra Energy Inc., Senior Unsecured Notes: | | | | |
| | 950,000 | | | BBB | | 3.900% due 5/15/27 | | | 931,201 | |
| | 150,000 | | | BBB | | 4.375% due 3/15/29 | | | 146,960 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 190,000 | | | BBB | | 5.850% due 12/15/25 | | | 192,151 | |
| | 32,000 | | | BBB | | 5.250% due 10/15/27 | | | 32,211 | |
| | 142,000 | | | BBB | | 5.875% due 6/15/28 | | | 143,478 | |
| | 129,000 | | | BBB | | 4.500% due 1/15/30 | | | 127,737 | |
| | 25,000 | | | BBB | | 5.200% due 9/15/34 | | | 24,755 | |
| | 460,000 | | | BBB | | 5.600% due 7/15/41 | | | 450,078 | |
| | 10,000 | | | BBB | | 4.750% due 5/15/42 | | | 8,793 | |
| | 680,000 | | | BBB | | 5.000% due 6/15/45 | | | 608,449 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 314,000 | | | BBB- | | 3.250% due 12/1/26 | | | 305,606 | |
| | 794,000 | | | BBB- | | 3.500% due 12/1/29 | | | 750,786 | |
| | 344,000 | | | BBB- | | 3.125% due 3/24/31 | | | 310,683 | |
| | 330,000 | | | BBB- | | 4.400% due 3/24/51 | | | 274,424 | |
| | 860,000 | | | BB+ | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 5/28/45 | | | 639,844 | |
| | 1,490,000 | | | A- | | Eni SpA, Senior Unsecured Notes, 5.950% due 5/15/54(a) | | | 1,536,664 | |
See Notes to Financial Statements.
158
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 1.3% — (continued) | |
| | | | | | EOG Resources Inc., Senior Unsecured Notes: | | | | |
| $ | 100,000 | | | A- | | 4.150% due 1/15/26 | | $ | 99,763 | |
| | 210,000 | | | A- | | 4.375% due 4/15/30 | | | 210,397 | |
| | 510,000 | | | A- | | 3.900% due 4/1/35 | | | 471,279 | |
| | 210,000 | | | A- | | 4.950% due 4/15/50 | | | 199,679 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 1,034,000 | | | BBB- | | 3.900% due 10/1/27 | | | 1,010,971 | |
| | 52,000 | | | BBB- | | 5.700% due 4/1/28 | | | 53,451 | |
| | 201,000 | | | BBB- | | 5.000% due 1/15/29 | | | 202,144 | |
| | 200,000 | | | BBB- | | 3.625% due 5/15/31(a) | | | 181,724 | |
| | 128,000 | | | BBB- | | 5.750% due 2/1/34 | | | 130,882 | |
| | | | | | Equinor ASA, Company Guaranteed Notes: | | | | |
| | 50,000 | | | AA- | | 3.625% due 9/10/28 | | | 48,920 | |
| | 50,000 | | | AA- | | 3.250% due 11/18/49 | | | 36,786 | |
| | 25,000 | | | AA- | | 3.700% due 4/6/50 | | | 19,915 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 180,000 | | | AA- | | 3.482% due 3/19/30 | | | 173,405 | |
| | 460,000 | | | AA- | | 4.227% due 3/19/40 | | | 423,582 | |
| | 145,000 | | | AA- | | 4.114% due 3/1/46 | | | 126,640 | |
| | 185,000 | | | AA- | | 4.327% due 3/19/50 | | | 164,645 | |
| | 200,000 | | | AA- | | 3.452% due 4/15/51 | | | 152,569 | |
| | 75,000 | | | BBB- | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | 78,060 | |
| | 25,000 | | | BBB- | | Marathon Oil Corp., Senior Unsecured Notes, 6.600% due 10/1/37 | | | 28,009 | |
| | 25,000 | | | BBB | | Marathon Petroleum Corp., Senior Unsecured Notes, 6.500% due 3/1/41 | | | 26,984 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 740,000 | | | BB+ | | 5.550% due 3/15/26 | | | 746,759 | |
| | 90,000 | | | BB+ | | 3.400% due 4/15/26 | | | 87,804 | |
| | 140,000 | | | BB+ | | 7.500% due 5/1/31 | | | 158,951 | |
| | 75,000 | | | BB+ | | 7.875% due 9/15/31 | | | 86,641 | |
| | 50,000 | | | BB+ | | 5.550% due 10/1/34 | | | 50,828 | |
| | 50,000 | | | BB+ | | 6.450% due 9/15/36 | | | 54,304 | |
| | 25,000 | | | BB+ | | 6.200% due 3/15/40 | | | 26,261 | |
| | 90,000 | | | BB+ | | 4.625% due 6/15/45 | | | 74,334 | |
| | 50,000 | | | BB+ | | 6.600% due 3/15/46 | | | 54,222 | |
| | 30,000 | | | BB+ | | 4.100% due 2/15/47 | | | 22,511 | |
| | 690,000 | | | BB+ | | 4.200% due 3/15/48 | | | 534,791 | |
| | 50,000 | | | BB+ | | 6.050% due 10/1/54 | | | 51,141 | |
| | 177,000 | | | BBB- | | Ovintiv Inc., Company Guaranteed Notes, 6.250% due 7/15/33 | | | 187,106 | |
| | 140,000 | | | BB | | Permian Resources Operating LLC, Company Guaranteed Notes, 6.250% due 2/1/33(a) | | | 143,792 | |
| | 1,860,000 | | | BB | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.750% due 2/1/29 | | | 1,881,163 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 117,000 | | | BBB | | 6.625% due 6/15/35 | | | 92,243 | |
| | 465,000 | | | BBB | | 6.750% due 9/21/47 | | | 318,422 | |
| | 68,000 | | | BBB | | 6.350% due 2/12/48 | | | 44,999 | |
| | | | | | Pioneer Natural Resources Co., Senior Unsecured Notes: | | | | |
| | 30,000 | | | AA- | | 1.125% due 1/15/26 | | | 28,672 | |
| | 102,000 | | | AA- | | 5.100% due 3/29/26 | | | 103,021 | |
| | 50,000 | | | AA- | | 1.900% due 8/15/30 | | | 43,577 | |
| | 330,000 | | | AA- | | 2.150% due 1/15/31 | | | 287,330 | |
| | 50,000 | | | BB+ | | Range Resources Corp., Company Guaranteed Notes, 4.875% due 5/15/25 | | | 49,755 | |
| | 450,000 | | | BBB+ | | Reliance Industries Ltd., Senior Unsecured Notes, 3.625% due 1/12/52(a) | | | 333,335 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 610,000 | | | A+ | | 3.875% due 11/13/28 | | | 603,569 | |
| | 60,000 | | | A+ | | 2.750% due 4/6/30 | | | 55,475 | |
| | 25,000 | | | A+ | | 4.125% due 5/11/35 | | | 23,932 | |
See Notes to Financial Statements.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 1.3% — (continued) | |
| $ | 90,000 | | | A+ | | 4.550% due 8/12/43 | | $ | 84,522 | |
| | 140,000 | | | A+ | | 4.375% due 5/11/45 | | | 125,169 | |
| | 340,000 | | | A+ | | 4.000% due 5/10/46 | | | 286,165 | |
| | 50,000 | | | A+ | | 3.750% due 9/12/46 | | | 40,393 | |
| | 480,000 | | | A+ | | 3.250% due 4/6/50 | | | 349,695 | |
| | 50,000 | | | A+ | | 3.000% due 11/26/51 | | | 34,391 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.375% due 2/1/29 | | | 9,880 | |
| | 1,340,000 | | | BB+ | | 5.375% due 3/15/30 | | | 1,329,208 | |
| | 70,000 | | | BB+ | | 4.750% due 2/1/32 | | | 66,381 | |
| | 50,000 | | | A+ | | TotalEnergies Capital International SA, Company Guaranteed Notes, 3.127% due 5/29/50 | | | 35,686 | |
| | 50,000 | | | A+ | | TotalEnergies Capital SA, Company Guaranteed Notes, 5.150% due 4/5/34 | | | 51,751 | |
| | 25,000 | | | BBB | | Valero Energy Corp., Senior Unsecured Notes, 6.625% due 6/15/37 | | | 27,680 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 24,992,923 | |
| | | | | | | | | | |
|
| Oil & Gas Services — 0.0%@ | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 4.850% due 11/15/35 | | | 19,767 | |
| | 150,000 | | | BBB+ | | 5.000% due 11/15/45 | | | 141,045 | |
| | 171,000 | | | A | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.900% due 5/17/28(a) | | | 168,138 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 328,950 | |
| | | | | | | | | | |
|
| Packaging & Containers — 0.1% | |
| | 94,000 | | | BBB | | Amcor Flexibles North America Inc. North America Inc., Company Guaranteed Notes, 2.690% due 5/25/31 | | | 82,008 | |
| | 1,210,000 | | | B | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Secured Notes, 6.000% due 6/15/27(a) | | | 1,210,717 | |
| | 25,000 | | | BBB- | | Berry Global Inc., Senior Secured Notes, 5.650% due 1/15/34(a) | | | 25,467 | |
| | 315,000 | | | CCC+ | | Clydesdale Acquisition Holdings Inc., Company Guaranteed Notes, 8.750% due 4/15/30(a) | | | 314,548 | |
| | | | | | Packaging Corp. of America, Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 5.700% due 12/1/33 | | | 26,318 | |
| | 25,000 | | | BBB | | 3.050% due 10/1/51 | | | 17,224 | |
| | | | | | WRKCo Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 3.900% due 6/1/28 | | | 48,692 | |
| | 25,000 | | | BBB | | 4.900% due 3/15/29 | | | 25,292 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,750,266 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 1.4% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 730,000 | | | A- | | 2.600% due 11/21/24 | | | 725,610 | |
| | 20,000 | | | A- | | 3.800% due 3/15/25 | | | 19,863 | |
| | 100,000 | | | A- | | 3.600% due 5/14/25 | | | 99,064 | |
| | 450,000 | | | A- | | 2.950% due 11/21/26 | | | 437,389 | |
| | 100,000 | | | A- | | 4.800% due 3/15/27 | | | 101,368 | |
| | 400,000 | | | A- | | 4.800% due 3/15/29 | | | 408,759 | |
| | 1,430,000 | | | A- | | 3.200% due 11/21/29 | | | 1,355,875 | |
| | 180,000 | | | A- | | 4.950% due 3/15/31 | | | 185,406 | |
| | 240,000 | | | A- | | 5.050% due 3/15/34 | | | 247,555 | |
| | 551,000 | | | A- | | 4.550% due 3/15/35 | | | 543,651 | |
| | 611,000 | | | A- | | 4.500% due 5/14/35 | | | 601,484 | |
| | 10,000 | | | A- | | 4.875% due 11/14/48 | | | 9,645 | |
| | 355,000 | | | A- | | 4.250% due 11/21/49 | | | 310,567 | |
| | 75,000 | | | A- | | 5.400% due 3/15/54 | | | 77,965 | |
| | 50,000 | | | A+ | | Astrazeneca Finance LLC, Company Guaranteed Notes, 5.000% due 2/26/34 | | | 51,538 | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pharmaceuticals — 1.4% — (continued) | |
| | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | |
| $ | 25,000 | | | A+ | | 4.000% due 9/18/42 | | $ | 21,974 | |
| | 25,000 | | | A+ | | 4.375% due 11/16/45 | | | 22,871 | |
| | 25,000 | | | A+ | | 4.375% due 8/17/48 | | | 22,648 | |
| | 25,000 | | | A+ | | 2.125% due 8/6/50 | | | 14,750 | |
| | 25,000 | | | A+ | | 3.000% due 5/28/51 | | | 17,654 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | BBB | | 3.734% due 12/15/24 | | | 16,920 | |
| | 243,000 | | | BBB | | 4.693% due 2/13/28 | | | 244,446 | |
| | 67,000 | | | BBB | | 4.685% due 12/15/44 | | | 61,069 | |
| | 25,000 | | | BBB | | 4.669% due 6/6/47 | | | 22,650 | |
| | 25,000 | | | BBB | | 3.794% due 5/20/50 | | | 19,809 | |
| | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 4.900% due 2/22/27 | | | 101,613 | |
| | 41,000 | | | A | | 3.400% due 7/26/29 | | | 39,411 | |
| | 493,000 | | | A | | 5.100% due 2/22/31 | | | 510,064 | |
| | 610,000 | | | A | | 5.200% due 2/22/34 | | | 633,314 | |
| | 98,000 | | | A | | 4.125% due 6/15/39 | | | 88,879 | |
| | 50,000 | | | A | | 3.550% due 3/15/42 | | | 40,925 | |
| | 50,000 | | | A | | 4.350% due 11/15/47 | | | 43,623 | |
| | 50,000 | | | A | | 4.550% due 2/20/48 | | | 45,092 | |
| | 100,000 | | | A | | 4.250% due 10/26/49 | | | 85,685 | |
| | 50,000 | | | A | | 2.550% due 11/13/50 | | | 31,152 | |
| | 100,000 | | | A | | 3.700% due 3/15/52 | | | 76,994 | |
| | 160,000 | | | A | | 5.550% due 2/22/54 | | | 165,725 | |
| | 50,000 | | | A | | 3.900% due 3/15/62 | | | 38,312 | |
| | 90,000 | | | A | | 5.650% due 2/22/64 | | | 93,072 | |
| | | | | | Cigna Group (The): | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | A- | | 3.400% due 3/1/27 | | | 97,489 | |
| | 1,030,000 | | | A- | | 4.375% due 10/15/28 | | | 1,024,598 | |
| | 880,000 | | | A- | | 4.800% due 8/15/38 | | | 845,911 | |
| | 50,000 | | | A- | | 4.800% due 7/15/46 | | | 45,580 | |
| | 25,000 | | | A- | | 3.875% due 10/15/47 | | | 19,638 | |
| | 105,000 | | | A- | | 4.900% due 12/15/48 | | | 96,184 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 160,000 | | | A- | | 2.375% due 3/15/31 | | | 139,212 | |
| | 20,000 | | | A- | | 3.200% due 3/15/40 | | | 15,482 | |
| | 50,000 | | | A- | | 3.400% due 3/15/50 | | | 35,784 | |
| | 50,000 | | | A- | | 3.400% due 3/15/51 | | | 35,572 | |
| | 25,000 | | | A- | | 5.600% due 2/15/54 | | | 25,242 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 6,000 | | | BBB | | 3.875% due 7/20/25 | | | 5,941 | |
| | 200,000 | | | BBB | | 5.000% due 2/20/26 | | | 200,636 | |
| | 200,000 | | | BBB | | 2.875% due 6/1/26 | | | 194,019 | |
| | 50,000 | | | BBB | | 3.625% due 4/1/27 | | | 48,952 | |
| | 534,000 | | | BBB | | 4.300% due 3/25/28 | | | 527,616 | |
| | 591,000 | | | BBB | | 5.000% due 1/30/29 | | | 599,418 | |
| | 620,000 | | | BBB | | 3.750% due 4/1/30 | | | 587,967 | |
| | 944,000 | | | BBB | | 2.125% due 9/15/31 | | | 784,839 | |
| | 540,000 | | | BBB | | 4.780% due 3/25/38 | | | 497,006 | |
| | 50,000 | | | BBB | | 4.125% due 4/1/40 | | | 41,927 | |
| | 170,000 | | | BBB | | 5.125% due 7/20/45 | | | 153,876 | |
| | 910,000 | | | BBB | | 5.050% due 3/25/48 | | | 809,470 | |
| | 30,000 | | | BBB | | 4.250% due 4/1/50 | | | 23,652 | |
| | 85,346 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 86,435 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pharmaceuticals — 1.4% — (continued) | |
| | | | | | Eli Lilly & Co., Senior Unsecured Notes: | | | | |
| $ | 100,000 | | | A+ | | 4.500% due 2/9/27 | | $ | 100,914 | |
| | 595,000 | | | A+ | | 4.700% due 2/9/34 | | | 603,213 | |
| | 200,000 | | | A+ | | 4.600% due 8/14/34 | | | 200,745 | |
| | 25,000 | | | A+ | | 3.950% due 3/15/49 | | | 21,380 | |
| | 25,000 | | | A+ | | 4.875% due 2/27/53 | | | 24,562 | |
| | 110,000 | | | A+ | | 5.000% due 2/9/54 | | | 109,876 | |
| | 25,000 | | | A+ | | 4.150% due 3/15/59 | | | 21,378 | |
| | 25,000 | | | A+ | | 4.950% due 2/27/63 | | | 24,471 | |
| | 475,000 | | | A+ | | 5.100% due 2/9/64 | | | 475,575 | |
| | 50,000 | | | A | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 6.375% due 5/15/38 | | | 57,393 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 50,000 | | | AAA | | 4.950% due 6/1/34 | | | 52,344 | |
| | 460,000 | | | AAA | | 3.625% due 3/3/37 | | | 418,682 | |
| | 50,000 | | | AAA | | 3.700% due 3/1/46 | | | 42,386 | |
| | 25,000 | | | AAA | | 2.450% due 9/1/60 | | | 15,200 | |
| | | | | | Merck & Co., Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A+ | | 1.450% due 6/24/30 | | | 162,748 | |
| | 25,000 | | | A+ | | 3.900% due 3/7/39 | | | 22,520 | |
| | 25,000 | | | A+ | | 3.600% due 9/15/42 | | | 20,752 | |
| | 50,000 | | | A+ | | 4.150% due 5/18/43 | | | 44,701 | |
| | 50,000 | | | A+ | | 3.700% due 2/10/45 | | | 41,121 | |
| | 50,000 | | | A+ | | 4.000% due 3/7/49 | | | 42,344 | |
| | 50,000 | | | A+ | | 2.450% due 6/24/50 | | | 31,335 | |
| | 390,000 | | | A+ | | 2.750% due 12/10/51 | | | 257,530 | |
| | 50,000 | | | A+ | | 5.000% due 5/17/53 | | | 49,280 | |
| | 50,000 | | | A+ | | 2.900% due 12/10/61 | | | 31,383 | |
| | | | | | Pfizer Inc., Senior Unsecured Notes: | | | | |
| | 160,000 | | | A | | 2.625% due 4/1/30 | | | 146,934 | |
| | 140,000 | | | A | | 1.700% due 5/28/30 | | | 121,929 | |
| | 25,000 | | | A | | 4.000% due 12/15/36 | | | 23,406 | |
| | 25,000 | | | A | | 3.900% due 3/15/39 | | | 22,336 | |
| | | | | | Pfizer Investment Enterprises Pte Ltd., Company Guaranteed Notes: | | | | |
| | 200,000 | | | A | | 4.450% due 5/19/26 | | | 200,189 | |
| | 416,000 | | | A | | 4.750% due 5/19/33 | | | 418,503 | |
| | 1,947,000 | | | A | | 5.300% due 5/19/53 | | | 1,960,366 | |
| | 158,000 | | | A | | 5.340% due 5/19/63 | | | 157,343 | |
| | 256,000 | | | BBB+ | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | | | 224,848 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 220,000 | | | BB- | | 7.125% due 1/31/25 | | | 220,630 | |
| | 1,820,000 | | | BB- | | 3.150% due 10/1/26 | | | 1,744,576 | |
| | 720,000 | | | BB- | | 5.125% due 5/9/29 | | | 713,610 | |
| | | | | | Utah Acquisition Sub Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB- | | 3.950% due 6/15/26 | | | 98,620 | |
| | 25,000 | | | BBB- | | 5.250% due 6/15/46 | | | 21,723 | |
| | 2,050,000 | | | BBB- | | Viatris Inc., Company Guaranteed Notes, 4.000% due 6/22/50 | | | 1,459,191 | |
| | 180,000 | | | A | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 196,960 | |
| | | | | | Zoetis Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.700% due 2/1/43 | | | 23,295 | |
| | 25,000 | | | BBB | | 3.950% due 9/12/47 | | | 20,584 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 25,223,713 | |
| | | | | | | | | | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 1.7% | |
| $ | 140,000 | | | B+ | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 7.250% due 7/15/32(a) | | $ | 146,934 | |
| | 935,000 | | | BBB- | | Boardwalk Pipelines LP, Company Guaranteed Notes, 3.400% due 2/15/31 | | | 844,951 | |
| | | | | | Cameron LNG LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | A | | 2.902% due 7/15/31(a) | | | 44,355 | |
| | 580,000 | | | A | | 3.302% due 1/15/35(a) | | | 494,313 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 272,000 | | | BBB | | 5.125% due 6/30/27 | | | 274,785 | |
| | 399,000 | | | BBB | | 3.700% due 11/15/29 | | | 379,948 | |
| | | | | | Cheniere Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 147,000 | | | BBB- | | 4.500% due 10/1/29 | | | 143,946 | |
| | 143,000 | | | BBB- | | 4.000% due 3/1/31 | | | 134,967 | |
| | 486,000 | | | BBB- | | 3.250% due 1/31/32 | | | 431,522 | |
| | 105,000 | | | BBB- | | 5.950% due 6/30/33 | | | 110,599 | |
| | | | | | Columbia Pipelines Operating Co. LLC, Senior Unsecured Notes: | | | | |
| | 670,000 | | | Baa1(b) | | 6.036% due 11/15/33(a) | | | 708,025 | |
| | 100,000 | | | Baa1(b) | | 6.544% due 11/15/53(a) | | | 111,229 | |
| | 40,000 | | | BBB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | | | 43,697 | |
| | | | | | Enbridge Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB+ | | 5.900% due 11/15/26 | | | 102,816 | |
| | 50,000 | | | BBB+ | | 2.500% due 8/1/33 | | | 41,448 | |
| | 25,000 | | | BBB+ | | 5.625% due 4/5/34 | | | 25,837 | |
| | 50,000 | | | BBB+ | | 3.400% due 8/1/51 | | | 35,697 | |
| | 50,000 | | | BBB+ | | 6.700% due 11/15/53 | | | 56,945 | |
| | 995,000 | | | BBB+ | | 5.950% due 4/5/54 | | | 1,031,552 | |
| | 1,845,000 | | | BBB- | | Subordinated Notes, 5.750% (5-Year CMT Index + 5.314%) due 7/15/80(d) | | | 1,766,637 | |
| | | | | | Energy Transfer LP: | | | | |
| | 240,000 | | | BBB | | Company Guaranteed Notes, 5.250% due 4/15/29 | | | 245,363 | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 795,000 | | | BB+ | | 6.500% (5-Year CMT Index + 5.694%)(d)(e) | | | 790,726 | |
| | 180,000 | | | BB+ | | 6.750% (5-Year CMT Index + 5.134%)(d)(e) | | | 179,706 | |
| | 240,000 | | | BB+ | | 7.125% (5-Year CMT Index + 5.306%)(d)(e) | | | 240,641 | |
| | 405,000 | | | BB+ | | 8.000% (5-Year CMT Index + 4.020%) due 5/15/54(d) | | | 431,155 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 149,000 | | | BBB | | 5.500% due 6/1/27 | | | 151,963 | |
| | 76,000 | | | BBB | | 5.550% due 2/15/28 | | | 78,154 | |
| | 30,000 | | | BBB | | 4.950% due 6/15/28 | | | 30,320 | |
| | 800,000 | | | BBB | | 3.750% due 5/15/30 | | | 756,924 | |
| | 280,000 | | | BBB | | 5.550% due 5/15/34 | | | 287,452 | |
| | 25,000 | | | BBB | | 5.800% due 6/15/38 | | | 25,661 | |
| | 90,000 | | | BBB | | 6.100% due 2/15/42 | | | 91,863 | |
| | 340,000 | | | BBB | | 5.300% due 4/1/44 | | | 318,615 | |
| | 18,000 | | | BBB | | 5.300% due 4/15/47 | | | 16,757 | |
| | 750,000 | | | BBB | | 6.250% due 4/15/49 | | | 780,410 | |
| | 347,000 | | | BBB | | 5.000% due 5/15/50 | | | 308,977 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 100,000 | | | A- | | 4.600% due 1/11/27 | | | 100,798 | |
| | 100,000 | | | A- | | 3.950% due 2/15/27 | | | 99,271 | |
| | 660,000 | | | A- | | 4.150% due 10/16/28 | | | 656,024 | |
| | 1,550,000 | | | A- | | 2.800% due 1/31/30 | | | 1,433,703 | |
| | 50,000 | | | A- | | 4.850% due 1/31/34 | | | 50,261 | |
| | 150,000 | | | A- | | 6.650% due 10/15/34 | | | 168,985 | |
| | 50,000 | | | A- | | 4.950% due 2/15/35 | | | 50,261 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 1.7% — (continued) | |
| $ | 250,000 | | | A- | | 4.850% due 3/15/44 | | $ | 233,971 | |
| | 25,000 | | | A- | | 5.100% due 2/15/45 | | | 24,246 | |
| | 25,000 | | | A- | | 4.250% due 2/15/48 | | | 21,326 | |
| | 50,000 | | | A- | | 4.800% due 2/1/49 | | | 45,934 | |
| | 50,000 | | | A- | | 4.200% due 1/31/50 | | | 42,031 | |
| | 130,000 | | | A- | | 3.700% due 1/31/51 | | | 100,109 | |
| | 25,000 | | | A- | | 3.200% due 2/15/52 | | | 17,381 | |
| | 50,000 | | | A- | | 3.300% due 2/15/53 | | | 35,107 | |
| | 180,000 | | | A- | | 5.550% due 2/16/55 | | | 183,704 | |
| | 180,000 | | | A- | | 3.950% due 1/31/60 | | | 138,704 | |
| | 60,000 | | | BBB | | 5.375% (3-Month Term SOFR + 2.832%) due 2/15/78(d) | | | 56,496 | |
| | 1,250,000 | | | BB- | | Harvest Midstream I LP, Senior Unsecured Notes, 7.500% due 5/15/32(a) | | | 1,314,944 | |
| | 25,000 | | | BBB | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 6.950% due 1/15/38 | | | 28,121 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BBB | | 4.300% due 3/1/28 | | | 288,581 | |
| | 560,000 | | | BBB | | 5.000% due 2/1/29 | | | 567,521 | |
| | 50,000 | | | BBB | | 5.550% due 6/1/45 | | | 48,633 | |
| | 25,000 | | | BBB | | 5.200% due 3/1/48 | | | 23,126 | |
| | 55,000 | | | BBB | | 3.250% due 8/1/50 | | | 36,968 | |
| | 132,000 | | | BBB | | 3.600% due 2/15/51 | | | 94,483 | |
| | 25,000 | | | BBB | | 5.450% due 8/1/52 | | | 23,858 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 4.875% due 6/1/25 | | | 9,982 | |
| | 100,000 | | | BBB | | 1.750% due 3/1/26 | | | 95,646 | |
| | 100,000 | | | BBB | | 4.125% due 3/1/27 | | | 98,923 | |
| | 850,000 | | | BBB | | 4.800% due 2/15/29 | | | 858,330 | |
| | 200,000 | | | BBB | | 4.500% due 4/15/38 | | | 182,782 | |
| | 330,000 | | | BBB | | 4.700% due 4/15/48 | | | 285,016 | |
| | 100,000 | | | BBB | | 5.500% due 2/15/49 | | | 96,258 | |
| | 50,000 | | | BBB | | 4.950% due 3/14/52 | | | 44,391 | |
| | 445,000 | | | BB | | Northriver Midstream Finance LP, Senior Secured Notes, 6.750% due 7/15/32(a) | | | 457,250 | |
| | 224,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 220,386 | |
| | | | | | ONEOK Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 120,000 | | | BBB | | 5.550% due 11/1/26 | | | 122,270 | |
| | 200,000 | | | BBB | | 5.800% due 11/1/30 | | | 211,368 | |
| | 415,000 | | | BBB | | 6.050% due 9/1/33 | | | 438,398 | |
| | 25,000 | | | BBB | | 5.150% due 10/15/43 | | | 23,621 | |
| | 100,000 | | | BBB | | 5.200% due 7/15/48 | | | 92,063 | |
| | 25,000 | | | BBB | | 4.850% due 2/1/49 | | | 21,891 | |
| | 50,000 | | | BBB | | 3.950% due 3/1/50 | | | 38,103 | |
| | 25,000 | | | BBB | | 4.500% due 3/15/50 | | | 20,528 | |
| | 455,000 | | | BBB | | 6.625% due 9/1/53 | | | 502,682 | |
| | 200,000 | | | BBB | | Senior Unsecured Notes, 5.000% due 3/1/26 | | | 200,400 | |
| | 25,000 | | | BBB | | ONEOK Partners LP, Company Guaranteed Notes, 6.650% due 10/1/36 | | | 27,634 | |
| | 250,000 | | | BBB | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.500% due 12/15/26 | | | 249,028 | |
| | 500,000 | | | B- | | Prairie Acquiror LP, Senior Secured Notes, 9.000% due 8/1/29(a) | | | 523,303 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 321,000 | | | BBB+ | | 5.000% due 3/15/27 | | | 323,228 | |
| | 140,000 | | | BBB+ | | 4.200% due 3/15/28 | | | 138,240 | |
| | 284,000 | | | BBB+ | | 5.900% due 9/15/37 | | | 299,722 | |
| | 258,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 304,734 | |
| | 2,030,000 | | | B+ | | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, 6.000% due 12/31/30(a) | | | 1,936,646 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 1.7% — (continued) | |
| | | | | | Targa Resources Corp., Company Guaranteed Notes: | | | | |
| $ | 222,000 | | | BBB | | 6.150% due 3/1/29 | | $ | 234,548 | |
| | 130,000 | | | BBB | | 4.200% due 2/1/33 | | | 121,058 | |
| | 100,000 | | | BBB | | 6.500% due 2/15/53 | | | 109,670 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 6.500% due 7/15/27 | | | 50,588 | |
| | 240,000 | | | BBB | | 5.000% due 1/15/28 | | | 240,454 | |
| | 20,000 | | | BBB | | 6.875% due 1/15/29 | | | 20,571 | |
| | 188,000 | | | BBB | | 5.500% due 3/1/30 | | | 190,717 | |
| | 639,000 | | | BBB | | 4.875% due 2/1/31 | | | 628,038 | |
| | 40,000 | | | BBB | | 4.000% due 1/15/32 | | | 37,186 | |
| | 690,000 | | | BBB | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | | | 625,819 | |
| | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 5.000% due 10/16/43 | | | 23,792 | |
| | 25,000 | | | BBB+ | | 4.875% due 5/15/48 | | | 23,056 | |
| | 25,000 | | | BBB+ | | 5.100% due 3/15/49 | | | 23,915 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 835,000 | | | BBB | | 7.850% due 2/1/26 | | | 863,692 | |
| | 237,000 | | | BBB | | 4.000% due 3/15/28 | | | 232,272 | |
| | 238,000 | | | BBB | | 4.600% due 3/15/48 | | | 207,613 | |
| | 110,000 | | | BB+ | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 3.875% due 11/1/33(a) | | | 97,894 | |
| | | | | | Venture Global LNG Inc., Senior Secured Notes: | | | | |
| | 975,000 | | | BB | | 9.500% due 2/1/29(a) | | | 1,099,375 | |
| | 330,000 | | | BB | | 7.000% due 1/15/30(a) | | | 337,637 | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 3.100% due 2/1/25 | | | 9,889 | |
| | 100,000 | | | BBB- | | 4.650% due 7/1/26 | | | 99,580 | |
| | 40,000 | | | BBB- | | 4.500% due 3/1/28 | | | 39,589 | |
| | 630,000 | | | BBB- | | 4.050% due 2/1/30 | | | 603,434 | |
| | 115,000 | | | BBB- | | 5.250% due 2/1/50 | | | 104,048 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 7.500% due 1/15/31 | | | 56,660 | |
| | 370,000 | | | BBB | | 7.750% due 6/15/31 | | | 416,011 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 141,022 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 32,010,388 | |
| | | | | | | | | | |
|
| Private Equity — 0.0%@ | |
| | | | | | Brookfield Finance Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | A- | | 4.250% due 6/2/26 | | | 99,210 | |
| | 50,000 | | | A- | | 3.900% due 1/25/28 | | | 48,864 | |
| | 25,000 | | | A- | | 4.850% due 3/29/29 | | | 25,294 | |
| | 25,000 | | | A- | | Brookfield Finance LLC/Brookfield Finance Inc., Company Guaranteed Notes, 3.450% due 4/15/50 | | | 17,972 | |
| | | | | | | | | | |
| | | | | | Total Private Equity | | | 191,340 | |
| | | | | | | | | | |
|
| Real Estate Investment Trusts (REITs) — 1.4% | |
| | | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.950% due 1/15/27 | | | 24,588 | |
| | 25,000 | | | BBB+ | | 3.950% due 1/15/28 | | | 24,489 | |
| | 25,000 | | | BBB+ | | 4.500% due 7/30/29 | | | 24,794 | |
| | 25,000 | | | BBB+ | | 1.875% due 2/1/33 | | | 19,689 | |
| | 25,000 | | | BBB+ | | 4.750% due 4/15/35 | | | 24,194 | |
| | 675,000 | | | BBB+ | | 3.550% due 3/15/52 | | | 479,656 | |
| | 25,000 | | | BBB+ | | 5.625% due 5/15/54 | | | 24,710 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 1.4% — (continued) | |
| | | | | | American Homes 4 Rent LP, Senior Unsecured Notes: | | | | |
| $ | 25,000 | | | BBB | | 4.250% due 2/15/28 | | $ | 24,580 | |
| | 25,000 | | | BBB | | 3.625% due 4/15/32 | | | 22,758 | |
| | 25,000 | | | BBB | | 5.500% due 2/1/34 | | | 25,488 | |
| | | | | | American Tower Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 1.600% due 4/15/26 | | | 190,066 | |
| | 200,000 | | | BBB- | | 3.650% due 3/15/27 | | | 195,431 | |
| | 243,000 | | | BBB- | | 5.800% due 11/15/28 | | | 254,252 | |
| | 186,000 | | | BBB- | | 3.800% due 8/15/29 | | | 178,600 | |
| | 208,000 | | | BBB- | | 2.100% due 6/15/30 | | | 181,080 | |
| | 137,000 | | | BBB- | | 1.875% due 10/15/30 | | | 116,303 | |
| | 106,000 | | | BBB- | | 2.700% due 4/15/31 | | | 93,415 | |
| | 47,000 | | | BBB- | | 2.300% due 9/15/31 | | | 39,964 | |
| | | | | | AvalonBay Communities Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 3.300% due 6/1/29 | | | 23,844 | |
| | 25,000 | | | A- | | 2.300% due 3/1/30 | | | 22,412 | |
| | 25,000 | | | A- | | 5.000% due 2/15/33 | | | 25,259 | |
| | 25,000 | | | A- | | 5.300% due 12/7/33 | | | 25,742 | |
| | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.500% due 12/1/28 | | | 24,369 | |
| | 25,000 | | | BBB | | 3.400% due 6/21/29 | | | 23,110 | |
| | 25,000 | | | BBB | | 3.250% due 1/30/31 | | | 22,003 | |
| | 25,000 | | | BBB | | 2.450% due 10/1/33 | | | 19,490 | |
| | 25,000 | | | BBB | | 6.500% due 1/15/34 | | | 26,532 | |
| | 950,000 | | | BB+ | | Brandywine Operating Partnership LP, Company Guaranteed Notes, 8.050% due 3/15/28 | | | 1,011,652 | |
| | 25,000 | | | BBB | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 5.500% due 2/15/34 | | | 25,315 | |
| | 25,000 | | | A- | | Camden Property Trust, Senior Unsecured Notes, 4.900% due 1/15/34 | | | 24,898 | |
| | | | | | Crown Castle Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 1.050% due 7/15/26 | | | 187,628 | |
| | 200,000 | | | BBB | | 4.000% due 3/1/27 | | | 197,156 | |
| | 159,000 | | | BBB | | 5.000% due 1/11/28 | | | 160,488 | |
| | 263,000 | | | BBB | | 3.800% due 2/15/28 | | | 255,683 | |
| | 69,000 | | | BBB | | 3.100% due 11/15/29 | | | 63,820 | |
| | 183,000 | | | BBB | | 2.250% due 1/15/31 | | | 156,378 | |
| | 141,000 | | | BBB | | 2.100% due 4/1/31 | | | 118,421 | |
| | 180,000 | | | BBB | | 2.500% due 7/15/31 | | | 154,207 | |
| | | | | | CubeSmart LP, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB | | 3.125% due 9/1/26 | | | 24,246 | |
| | 25,000 | | | BBB | | 2.500% due 2/15/32 | | | 21,357 | |
| | 560,000 | EUR | | Baa2(b) | | Digital Intrepid Holding BV, Company Guaranteed Notes, (Cost — $442,530, acquired 3/30/23), 0.625% due 7/15/31(c) | | | 500,023 | |
| | 25,000 | | | BBB | | Digital Realty Trust LP, Company Guaranteed Notes, 5.550% due 1/15/28 | | | 25,577 | |
| | | | | | EPR Properties, Senior Unsecured Notes: | | | | |
| | 1,025,000 | | | BBB- | | 3.750% due 8/15/29 | | | 950,426 | |
| | 500,000 | | | BBB- | | 3.600% due 11/15/31 | | | 440,436 | |
| | | | | | Equinix Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB | | 1.550% due 3/15/28 | | | 117,241 | |
| | 183,000 | | | BBB | | 2.000% due 5/15/28 | | | 167,386 | |
| | 333,000 | | | BBB | | 3.200% due 11/18/29 | | | 311,027 | |
| | 270,000 | | | BBB | | 2.500% due 5/15/31 | | | 234,868 | |
| | | | | | ERP Operating LP, Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 3.500% due 3/1/28 | | | 24,251 | |
| | 25,000 | | | A- | | 4.150% due 12/1/28 | | | 24,764 | |
| | 25,000 | | | A- | | 3.000% due 7/1/29 | | | 23,441 | |
| | 25,000 | | | A- | | 2.500% due 2/15/30 | | | 22,663 | |
| | 25,000 | | | A- | | 1.850% due 8/1/31 | | | 21,028 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 1.4% — (continued) | |
| $ | 1,350,000 | | | BBB- | | Essential Properties LP, Company Guaranteed Notes, 2.950% due 7/15/31 | | $ | 1,157,074 | |
| | | | | | Essex Portfolio LP, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.625% due 5/1/27 | | | 24,417 | |
| | 25,000 | | | BBB+ | | 4.000% due 3/1/29 | | | 24,279 | |
| | 256,000 | | | BBB+ | | Extra Space Storage LP, Company Guaranteed Notes, 5.700% due 4/1/28 | | | 264,402 | |
| | 25,000 | | | BBB+ | | Federal Realty OP LP, Senior Unsecured Notes, 1.250% due 2/15/26 | | | 23,765 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 5.375% due 4/15/26 | | | 20,045 | |
| | 407,000 | | | BBB- | | 5.300% due 1/15/29 | | | 410,712 | |
| | 462,000 | | | BBB- | | 4.000% due 1/15/30 | | | 437,002 | |
| | 799,000 | | | BBB- | | 4.000% due 1/15/31 | | | 744,053 | |
| | 673,000 | | | BBB- | | 3.250% due 1/15/32 | | | 587,936 | |
| | 750,000 | | | BBB- | | 6.750% due 12/1/33 | | | 818,351 | |
| | 25,000 | | | BBB+ | | Healthpeak OP LLC, Company Guaranteed Notes, 2.875% due 1/15/31 | | | 22,432 | |
| | 25,000 | | | BBB- | | Host Hotels & Resorts LP, Senior Unsecured Notes, 2.900% due 12/15/31 | | | 21,588 | |
| | 246,000 | | | BBB | | Invitation Homes Operating Partnership LP, Company Guaranteed Notes, 2.300% due 11/15/28 | | | 223,538 | |
| | | | | | Kilroy Realty LP, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB | | 4.250% due 8/15/29 | | | 23,393 | |
| | 25,000 | | | BBB | | 2.650% due 11/15/33 | | | 19,194 | |
| | | | | | Kimco Realty OP LLC, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.800% due 4/1/27 | | | 24,503 | |
| | 25,000 | | | BBB+ | | 3.200% due 4/1/32 | | | 22,293 | |
| | 25,000 | | | BBB+ | | 4.600% due 2/1/33 | | | 24,463 | |
| | 25,000 | | | A- | | Mid-America Apartments LP, Senior Unsecured Notes, 5.000% due 3/15/34 | | | 25,091 | |
| | | | | | NNN REIT Inc., Senior Unsecured Notes: | | | | |
| | 124,000 | | | BBB+ | | 3.100% due 4/15/50 | | | 83,595 | |
| | 268,000 | | | BBB+ | | 3.500% due 4/15/51 | | | 194,502 | |
| | | | | | Omega Healthcare Investors Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB- | | 4.750% due 1/15/28 | | | 24,778 | |
| | 1,525,000 | | | BBB- | | 3.625% due 10/1/29 | | | 1,418,988 | |
| | 1,250,000 | | | BBB- | | Piedmont Operating Partnership LP, Company Guaranteed Notes, 2.750% due 4/1/32 | | | 983,592 | |
| | | | | | Prologis LP, Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 4.875% due 6/15/28 | | | 25,449 | |
| | 297,000 | | | A | | 2.250% due 4/15/30 | | | 265,616 | |
| | 25,000 | | | A | | 4.625% due 1/15/33 | | | 24,831 | |
| | 25,000 | | | A | | 5.125% due 1/15/34 | | | 25,599 | |
| | 25,000 | | | A | | 5.000% due 3/15/34 | | | 25,304 | |
| | 25,000 | | | A | | 5.250% due 6/15/53 | | | 24,866 | |
| | | | | | Public Storage Operating Co., Company Guaranteed Notes: | | | | |
| | 25,000 | | | A | | 1.850% due 5/1/28 | | | 22,843 | |
| | 25,000 | | | A | | 3.385% due 5/1/29 | | | 24,081 | |
| | 25,000 | | | A | | 2.250% due 11/9/31 | | | 21,407 | |
| | 25,000 | | | A | | 5.100% due 8/1/33 | | | 25,640 | |
| | | | | | Realty Income Corp., Senior Unsecured Notes: | | | | |
| | 57,000 | | | A- | | 3.100% due 12/15/29 | | | 53,303 | |
| | 74,000 | | | A- | | 3.250% due 1/15/31 | | | 68,035 | |
| | 184,000 | | | A- | | 5.125% due 2/15/34 | | | 185,722 | |
| | 270,000 | EUR | | A- | | 5.125% due 7/6/34 | | | 327,473 | |
| | | | | | Regency Centers LP, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.600% due 2/1/27 | | | 24,452 | |
| | 25,000 | | | BBB+ | | 5.250% due 1/15/34 | | | 25,478 | |
| | 2,000,000 | | | BBB- | | Sabra Health Care LP, Company Guaranteed Notes, 5.125% due 8/15/26 | | | 2,004,803 | |
| | 210,000 | | | BB | | Service Properties Trust, Company Guaranteed Notes, 8.375% due 6/15/29 | | | 208,161 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 1.4% — (continued) | |
| | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | | |
| $ | 50,000 | | | A- | | 3.500% due 9/1/25 | | $ | 49,418 | |
| | 25,000 | | | A- | | 3.300% due 1/15/26 | | | 24,572 | |
| | 50,000 | | | A- | | 3.375% due 6/15/27 | | | 48,876 | |
| | 50,000 | | | A- | | 3.375% due 12/1/27 | | | 48,505 | |
| | 50,000 | | | A- | | 1.750% due 2/1/28 | | | 45,856 | |
| | 50,000 | | | A- | | 2.450% due 9/13/29 | | | 45,527 | |
| | 50,000 | | | A- | | 2.650% due 7/15/30 | | | 45,405 | |
| | 25,000 | | | A- | | 2.200% due 2/1/31 | | | 21,675 | |
| | 25,000 | | | A- | | 2.250% due 1/15/32 | | | 21,278 | |
| | 25,000 | | | A- | | 2.650% due 2/1/32 | | | 21,775 | |
| | 25,000 | | | A- | | 5.500% due 3/8/33 | | | 26,145 | |
| | 25,000 | | | A- | | 6.250% due 1/15/34 | | | 27,362 | |
| | 25,000 | | | A- | | 3.800% due 7/15/50 | | | 19,491 | |
| | 25,000 | | | BBB | | Sun Communities Operating LP, Company Guaranteed Notes, 5.500% due 1/15/29 | | | 25,554 | |
| | | | | | UDR Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.000% due 8/15/31 | | | 22,450 | |
| | 25,000 | | | BBB+ | | 2.100% due 8/1/32 | | | 20,370 | |
| | | | | | Ventas Realty LP, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.000% due 3/1/28 | | | 24,481 | |
| | 25,000 | | | BBB+ | | 4.400% due 1/15/29 | | | 24,752 | |
| | 25,000 | | | BBB+ | | 3.000% due 1/15/30 | | | 22,888 | |
| | 25,000 | | | BBB+ | | 4.875% due 4/15/49 | | | 22,647 | |
| | | | | | VICI Properties LP, Senior Unsecured Notes: | | | | |
| | 1,062,000 | | | BBB- | | 4.750% due 2/15/28 | | | 1,059,810 | |
| | 487,000 | | | BBB- | | 5.125% due 5/15/32 | | | 481,601 | |
| | 185,000 | | | BBB- | | 5.625% due 5/15/52 | | | 175,598 | |
| | 1,200,000 | | | BBB- | | 6.125% due 4/1/54 | | | 1,225,124 | |
| | | | | | VICI Properties LP/VICI Notes Co., Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | BBB- | | 4.500% due 1/15/28(a) | | | 157,834 | |
| | 144,000 | | | BBB- | | 4.125% due 8/15/30(a) | | | 135,965 | |
| | | | | | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes: | | | | |
| | 2,700,000 | | | BBB+ | | 3.750% due 9/17/24(a) | | | 2,695,893 | |
| | 750,000 | | | BBB+ | | 4.750% due 9/17/44(a) | | | 605,490 | |
| | | | | | Welltower OP LLC, Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 2.700% due 2/15/27 | | | 24,050 | |
| | 25,000 | | | BBB+ | | 2.050% due 1/15/29 | | | 22,496 | |
| | 25,000 | | | BBB+ | | 4.125% due 3/15/29 | | | 24,553 | |
| | 25,000 | | | BBB+ | | 3.100% due 1/15/30 | | | 23,160 | |
| | 25,000 | | | BBB+ | | 2.750% due 1/15/31 | | | 22,312 | |
| | 25,000 | | | BBB+ | | 2.750% due 1/15/32 | | | 21,791 | |
| | | | | | Weyerhaeuser Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 4.000% due 11/15/29 | | | 24,267 | |
| | 25,000 | | | BBB | | 4.000% due 3/9/52 | | | 19,660 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 25,756,878 | |
| | | | | | | | | | |
|
| Retail — 0.5% | |
| | | | | | Costco Wholesale Corp., Senior Unsecured Notes: | | | | |
| | 560,000 | | | A+ | | 1.375% due 6/20/27 | | | 521,228 | |
| | 160,000 | | | A+ | | 1.600% due 4/20/30 | | | 139,565 | |
| | 25,000 | | | BBB | | Dick’s Sporting Goods Inc., Senior Unsecured Notes, 4.100% due 1/15/52 | | | 18,804 | |
| | 25,000 | | | BBB | | Dollar General Corp., Senior Unsecured Notes, 4.125% due 4/3/50 | | | 19,503 | |
| | 350,000 | | | BB | | Gap Inc. (The), Company Guaranteed Notes, 3.875% due 10/1/31(a) | | | 302,663 | |
| | 1,540,000 | | | BBB | | Genuine Parts Co., Senior Unsecured Notes, 4.950% due 8/15/29 | | | 1,550,006 | |
| | 240,000 | | | BB+ | | Group 1 Automotive Inc., Company Guaranteed Notes, 6.375% due 1/15/30(a) | | | 244,777 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Retail — 0.5% — (continued) | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| $ | 210,000 | | | A | | 2.500% due 4/15/27 | | $ | 201,532 | |
| | 580,000 | | | A | | 3.250% due 4/15/32 | | | 535,866 | |
| | 50,000 | | | A | | 5.875% due 12/16/36 | | | 55,080 | |
| | 70,000 | | | A | | 3.300% due 4/15/40 | | | 57,495 | |
| | 50,000 | | | A | | 5.950% due 4/1/41 | | | 55,271 | |
| | 25,000 | | | A | | 4.200% due 4/1/43 | | | 22,275 | |
| | 25,000 | | | A | | 4.875% due 2/15/44 | | | 24,216 | |
| | 25,000 | | | A | | 4.400% due 3/15/45 | | | 22,767 | |
| | 50,000 | | | A | | 4.250% due 4/1/46 | | | 44,444 | |
| | 70,000 | | | A | | 3.900% due 6/15/47 | | | 58,522 | |
| | 50,000 | | | A | | 4.500% due 12/6/48 | | | 45,691 | |
| | 50,000 | | | A | | 3.125% due 12/15/49 | | | 36,016 | |
| | 230,000 | | | A | | 3.350% due 4/15/50 | | | 172,720 | |
| | 50,000 | | | A | | 2.375% due 3/15/51 | | | 30,565 | |
| | 50,000 | | | A | | 2.750% due 9/15/51 | | | 32,949 | |
| | 50,000 | | | A | | 3.625% due 4/15/52 | | | 39,020 | |
| | 25,000 | | | A | | 4.950% due 9/15/52 | | | 24,277 | |
| | 25,000 | | | A | | 3.500% due 9/15/56 | | | 18,845 | |
| | 525,000 | | | BB | | Kohl’s Corp., Senior Unsecured Notes, 4.625% due 5/1/31 | | | 434,309 | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 2.500% due 4/15/26 | | | 193,861 | |
| | 805,000 | | | BBB+ | | 3.650% due 4/5/29 | | | 778,300 | |
| | 70,000 | | | BBB+ | | 4.500% due 4/15/30 | | | 70,144 | |
| | 284,000 | | | BBB+ | | 1.700% due 10/15/30 | | | 241,493 | |
| | 91,000 | | | BBB+ | | 2.625% due 4/1/31 | | | 80,741 | |
| | 50,000 | | | BBB+ | | 4.050% due 5/3/47 | | | 40,660 | |
| | 50,000 | | | BBB+ | | 3.000% due 10/15/50 | | | 33,142 | |
| | 25,000 | | | BBB+ | | 4.250% due 4/1/52 | | | 20,569 | |
| | 50,000 | | | BBB+ | | 5.625% due 4/15/53 | | | 50,672 | |
| | 25,000 | | | BBB+ | | 4.450% due 4/1/62 | | | 20,489 | |
| | 1,120,000 | | | BB+ | | Macy’s Retail Holdings LLC, Company Guaranteed Notes, 5.875% due 3/15/30(a) | | | 1,087,259 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 1.450% due 9/1/25 | | | 29,067 | |
| | 10,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 9,888 | |
| | 130,000 | | | BBB+ | | 3.500% due 3/1/27 | | | 127,487 | |
| | 60,000 | | | BBB+ | | 3.500% due 7/1/27 | | | 58,722 | |
| | 340,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 334,652 | |
| | 100,000 | | | BBB+ | | 3.600% due 7/1/30 | | | 95,998 | |
| | 25,000 | | | BBB+ | | 4.700% due 12/9/35 | | | 24,868 | |
| | 25,000 | | | BBB+ | | 6.300% due 3/1/38 | | | 28,006 | |
| | 50,000 | | | BBB+ | | 4.875% due 12/9/45 | | | 47,280 | |
| | 50,000 | | | BBB+ | | 4.450% due 3/1/47 | | | 44,250 | |
| | 25,000 | | | BBB+ | | 4.450% due 9/1/48 | | | 22,105 | |
| | 70,000 | | | BBB+ | | 3.625% due 9/1/49 | | | 53,597 | |
| | 425,000 | | | BBB+ | | 4.200% due 4/1/50 | | | 357,013 | |
| | 25,000 | | | BBB+ | | 5.150% due 9/9/52 | | | 24,377 | |
| | 25,000 | | | BBB+ | | 5.450% due 8/14/53 | | | 25,371 | |
| | 500,000 | | | CCC | | Michaels Cos Inc. (The), Senior Unsecured Notes, 7.875% due 5/1/29(a) | | | 297,710 | |
| | 480,000 | | | BB | | PetSmart Inc./PetSmart Finance Corp., Senior Secured Notes, 4.750% due 2/15/28(a) | | | 459,721 | |
| | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 19,495 | |
| | 25,000 | | | BBB+ | | 4.500% due 11/15/48 | | | 21,966 | |
| | 25,000 | | | BBB+ | | 4.450% due 8/15/49 | | | 21,764 | |
| | 25,000 | | | BBB+ | | 3.350% due 3/12/50 | | | 18,059 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Retail — 0.5% — (continued) | |
| $ | 25,000 | | | BBB+ | | 3.500% due 11/15/50 | | $ | 18,610 | |
| | | | | | Target Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 4.500% due 9/15/32 | | | 50,326 | |
| | 25,000 | | | A | | 4.000% due 7/1/42 | | | 22,212 | |
| | 25,000 | | | A | | 3.625% due 4/15/46 | | | 20,257 | |
| | 50,000 | | | A | | 2.950% due 1/15/52 | | | 34,391 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | AA | | 1.500% due 9/22/28 | | | 82,060 | |
| | 40,000 | | | AA | | 1.800% due 9/22/31 | | | 34,365 | |
| | 25,000 | | | AA | | 6.200% due 4/15/38 | | | 29,017 | |
| | 25,000 | | | AA | | 3.950% due 6/28/38 | | | 23,619 | |
| | 25,000 | | | AA | | 5.625% due 4/15/41 | | | 27,312 | |
| | 25,000 | | | AA | | 2.500% due 9/22/41 | | | 18,318 | |
| | 25,000 | | | AA | | 3.625% due 12/15/47 | | | 20,596 | |
| | 50,000 | | | AA | | 4.050% due 6/29/48 | | | 44,172 | |
| | 25,000 | | | AA | | 2.950% due 9/24/49 | | | 18,202 | |
| | 50,000 | | | AA | | 2.650% due 9/22/51 | | | 33,556 | |
| | 50,000 | | | AA | | 4.500% due 4/15/53 | | | 47,199 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 9,971,344 | |
| | | | | | | | | | |
|
| Semiconductors — 0.7% | |
| | | | | | Analog Devices Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 2.800% due 10/1/41 | | | 18,479 | |
| | 25,000 | | | A- | | 2.950% due 10/1/51 | | | 17,392 | |
| | | | | | Applied Materials Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 3.300% due 4/1/27 | | | 48,883 | |
| | 25,000 | | | A | | 5.850% due 6/15/41 | | | 27,585 | |
| | 25,000 | | | A | | 4.350% due 4/1/47 | | | 22,805 | |
| | 100,000 | | | BBB | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 3.875% due 1/15/27 | | | 98,638 | |
| | | | | | Broadcom Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 85,000 | | | BBB | | 3.625% due 10/15/24 | | | 84,801 | |
| | 377,000 | | | BBB | | 4.150% due 11/15/30 | | | 367,109 | |
| | 200,000 | | | BBB | | 3.500% due 2/15/41(a) | | | 160,202 | |
| | 100,000 | | | BBB | | 3.750% due 2/15/51(a) | | | 77,976 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 170,000 | | | BBB | | 4.150% due 4/15/32(a) | | | 162,376 | |
| | 316,000 | | | BBB | | 3.469% due 4/15/34(a) | | | 279,601 | |
| | 1,054,000 | | | BBB | | 3.137% due 11/15/35(a) | | | 882,105 | |
| | 10,000 | | | BBB | | 3.187% due 11/15/36(a) | | | 8,277 | |
| | 108,000 | | | BBB | | 4.926% due 5/15/37(a) | | | 105,679 | |
| | 725,000 | | | BB | | Entegris Inc., Senior Secured Notes, 4.750% due 4/15/29(a) | | | 712,046 | |
| | 320,000 | | | BBB | | Foundry JV Holdco LLC, Senior Secured Notes, 5.875% due 1/25/34(a) | | | 321,790 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 2.600% due 5/19/26 | | | 48,064 | |
| | 370,000 | | | BBB+ | | 1.600% due 8/12/28 | | | 326,821 | |
| | 170,000 | | | BBB+ | | 5.125% due 2/10/30 | | | 171,721 | |
| | 154,000 | | | BBB+ | | 3.734% due 12/8/47 | | | 110,180 | |
| | 50,000 | | | BBB+ | | 3.250% due 11/15/49 | | | 32,578 | |
| | 210,000 | | | BBB+ | | 4.750% due 3/25/50 | | | 176,333 | |
| | 230,000 | | | BBB+ | | 3.050% due 8/12/51 | | | 143,400 | |
| | 50,000 | | | BBB+ | | 4.900% due 8/5/52 | | | 42,721 | |
| | 1,855,000 | | | BBB+ | | 5.700% due 2/10/53 | | | 1,778,904 | |
| | 25,000 | | | BBB+ | | 5.600% due 2/21/54 | | | 23,790 | |
| | 108,000 | | | BBB+ | | 5.050% due 8/5/62 | | | 91,131 | |
| | 64,000 | | | BBB+ | | 5.900% due 2/10/63 | | | 62,432 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Semiconductors — 0.7% — (continued) | |
| | | | | | KLA Corp., Senior Unsecured Notes: | | | | |
| $ | 258,000 | | | A- | | 4.100% due 3/15/29 | | $ | 256,906 | |
| | 271,000 | | | A- | | 5.250% due 7/15/62 | | | 272,789 | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 4.875% due 3/15/49 | | | 24,081 | |
| | 25,000 | | | A- | | 3.125% due 6/15/60 | | | 16,809 | |
| | 25,000 | | | BBB- | | Marvell Technology Inc., Senior Unsecured Notes, 5.750% due 2/15/29 | | | 26,062 | |
| | | | | | Micron Technology Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB- | | 4.975% due 2/6/26 | | | 25,077 | |
| | 50,000 | | | BBB- | | 4.185% due 2/15/27 | | | 49,511 | |
| | 25,000 | | | BBB- | | 5.375% due 4/15/28 | | | 25,566 | |
| | 25,000 | | | BBB- | | 4.663% due 2/15/30 | | | 24,963 | |
| | 100,000 | | | BBB- | | 5.875% due 2/9/33 | | | 105,342 | |
| | 25,000 | | | BBB- | | 5.875% due 9/15/33 | | | 26,363 | |
| | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | AA- | | 3.500% due 4/1/40 | | | 21,716 | |
| | 510,000 | | | AA- | | 3.500% due 4/1/50 | | | 414,271 | |
| | 160,000 | | | AA- | | 3.700% due 4/1/60 | | | 130,639 | |
| | | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB+ | | 2.700% due 5/1/25 | | | 88,601 | |
| | 50,000 | | | BBB+ | | 3.875% due 6/18/26 | | | 49,314 | |
| | 296,000 | | | BBB+ | | 2.500% due 5/11/31 | | | 256,198 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 2.150% due 5/20/30 | | | 22,378 | |
| | 25,000 | | | A | | 4.800% due 5/20/45 | | | 24,192 | |
| | 50,000 | | | A | | 4.300% due 5/20/47 | | | 44,680 | |
| | 25,000 | | | A | | 3.250% due 5/20/50 | | | 18,548 | |
| | 25,000 | | | A | | 4.500% due 5/20/52 | | | 22,690 | |
| | 25,000 | | | A | | 6.000% due 5/20/53 | | | 28,059 | |
| | 2,500,000 | | | BBB | | Renesas Electronics Corp., Senior Unsecured Notes, 2.170% due 11/25/26(a) | | | 2,362,518 | |
| | 2,130,000 | | | BBB | | SK Hynix Inc., Senior Unsecured Notes, 5.500% due 1/16/27(a) | | | 2,164,947 | |
| | | | | | Texas Instruments Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A+ | | 1.750% due 5/4/30 | | | 78,928 | |
| | 25,000 | | | A+ | | 3.875% due 3/15/39 | | | 23,013 | |
| | 50,000 | | | A+ | | 4.150% due 5/15/48 | | | 43,910 | |
| | 66,000 | | | A+ | | 5.000% due 3/14/53 | | | 65,519 | |
| | 62,000 | | | A+ | | 5.050% due 5/18/63 | | | 61,183 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 13,178,592 | |
| | | | | | | | | | |
|
| Shipbuilding — 0.0%@ | |
| | 137,000 | | | BBB- | | Huntington Ingalls Industries Inc., Company Guaranteed Notes, 2.043% due 8/16/28 | | | 124,390 | |
| | | | | | | | | | |
|
| Software — 0.4% | |
| | 50,000 | | | A+ | | Adobe Inc., Senior Unsecured Notes, 2.300% due 2/1/30 | | | 45,448 | |
| | 500,000 | | | CCC | | AthenaHealth Group Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | | | 478,732 | |
| | 90,000 | | | BBB+ | | Autodesk Inc., Senior Unsecured Notes, 2.850% due 1/15/30 | | | 83,014 | |
| | 350,000 | | | B | | Cloud Software Group Inc., Senior Secured Notes, 8.250% due 6/30/32(a) | | | 366,680 | |
| | 25,000 | | | BBB | | Concentrix Corp., Senior Unsecured Notes, 6.600% due 8/2/28 | | | 26,224 | |
| | | | | | Fidelity National Information Services Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 1.150% due 3/1/26 | | | 47,461 | |
| | 25,000 | | | BBB | | 1.650% due 3/1/28 | | | 22,644 | |
| | 25,000 | | | BBB | | 3.100% due 3/1/41 | | | 18,843 | |
| | | | | | Fiserv Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 3.200% due 7/1/26 | | | 48,814 | |
| | 25,000 | | | BBB | | 5.450% due 3/2/28 | | | 25,769 | |
| | 25,000 | | | BBB | | 5.375% due 8/21/28 | | | 25,804 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Software — 0.4% — (continued) | |
| $ | 25,000 | | | BBB | | 4.200% due 10/1/28 | | $ | 24,712 | |
| | 100,000 | | | BBB | | 3.500% due 7/1/29 | | | 95,788 | |
| | 25,000 | | | BBB | | 2.650% due 6/1/30 | | | 22,605 | |
| | 50,000 | | | BBB | | 4.400% due 7/1/49 | | | 43,023 | |
| | | | | | Intuit Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 1.350% due 7/15/27 | | | 23,142 | |
| | 25,000 | | | A- | | 5.125% due 9/15/28 | | | 25,840 | |
| | 25,000 | | | A- | | 1.650% due 7/15/30 | | | 21,497 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 55,000 | | | AAA | | 3.450% due 8/8/36 | | | 50,379 | |
| | 157,000 | | | AAA | | 2.525% due 6/1/50 | | | 104,934 | |
| | 50,000 | | | AAA | | 2.500% due 9/15/50 | | | 33,036 | |
| | 168,000 | | | AAA | | 2.921% due 3/17/52 | | | 120,819 | |
| | 50,000 | | | AAA | | 4.500% due 2/6/57 | | | 48,728 | |
| | 142,000 | | | AAA | | 3.041% due 3/17/62 | | | 99,915 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 1,070,000 | | | BBB | | 1.650% due 3/25/26 | | | 1,021,518 | |
| | 100,000 | | | BBB | | 2.650% due 7/15/26 | | | 96,582 | |
| | 60,000 | | | BBB | | 4.650% due 5/6/30 | | | 60,435 | |
| | 600,000 | | | BBB | | 2.875% due 3/25/31 | | | 537,700 | |
| | 46,000 | | | BBB | | 6.250% due 11/9/32 | | | 50,130 | |
| | 238,000 | | | BBB | | 4.300% due 7/8/34 | | | 225,248 | |
| | 267,000 | | | BBB | | 3.850% due 7/15/36 | | | 235,067 | |
| | 479,000 | | | BBB | | 3.800% due 11/15/37 | | | 412,322 | |
| | 95,000 | | | BBB | | 6.500% due 4/15/38 | | | 105,979 | |
| | 88,000 | | | BBB | | 5.375% due 7/15/40 | | | 87,223 | |
| | 76,000 | | | BBB | | 4.000% due 7/15/46 | | | 60,700 | |
| | 91,000 | | | BBB | | 4.000% due 11/15/47 | | | 72,129 | |
| | 348,000 | | | BBB | | 3.600% due 4/1/50 | | | 254,870 | |
| | 1,796,000 | | | BBB | | 3.950% due 3/25/51 | | | 1,392,991 | |
| | 55,000 | | | BBB | | 4.375% due 5/15/55 | | | 45,402 | |
| | 100,000 | | | BBB | | 3.850% due 4/1/60 | | | 72,486 | |
| | | | | | Roper Technologies Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 2.950% due 9/15/29 | | | 23,269 | |
| | 25,000 | | | BBB+ | | 1.750% due 2/15/31 | | | 20,869 | |
| | 25,000 | | | BBB+ | | 4.900% due 10/15/34 | | | 24,812 | |
| | | | | | Salesforce Inc., Senior Unsecured Notes: | | | | |
| | 370,000 | | | A+ | | 3.700% due 4/11/28 | | | 364,483 | |
| | 140,000 | | | A+ | | 2.700% due 7/15/41 | | | 103,142 | |
| | 50,000 | | | A+ | | 2.900% due 7/15/51 | | | 34,040 | |
| | 25,000 | | | A+ | | 3.050% due 7/15/61 | | | 16,268 | |
| | 50,000 | | | BBB | | VMware LLC, Senior Unsecured Notes, 3.900% due 8/21/27 | | | 49,152 | |
| | | | | | Workday Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 3.500% due 4/1/27 | | | 24,467 | |
| | 25,000 | | | BBB | | 3.700% due 4/1/29 | | | 24,172 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 7,319,307 | |
| | | | | | | | | | |
|
| Telecommunications — 1.4% | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 1.700% due 3/25/26 | | | 191,269 | |
| | 220,000 | | | BBB | | 4.250% due 3/1/27 | | | 219,191 | |
| | 960,000 | | | BBB | | 2.300% due 6/1/27 | | | 908,078 | |
| | 50,000 | | | BBB | | 1.650% due 2/1/28 | | | 45,596 | |
| | 55,000 | | | BBB | | 4.350% due 3/1/29 | | | 54,830 | |
| | 242,000 | | | BBB | | 2.750% due 6/1/31 | | | 214,831 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Telecommunications — 1.4% — (continued) | |
| $ | 180,000 | | | BBB | | 2.550% due 12/1/33 | | $ | 149,223 | |
| | 83,000 | | | BBB | | 5.400% due 2/15/34 | | | 85,786 | |
| | 25,000 | | | BBB | | 5.250% due 3/1/37 | | | 25,252 | |
| | 25,000 | | | BBB | | 4.900% due 8/15/37 | | | 24,391 | |
| | 25,000 | | | BBB | | 4.850% due 3/1/39 | | | 24,096 | |
| | 50,000 | | | BBB | | 5.350% due 9/1/40 | | | 49,980 | |
| | 80,000 | | | BBB | | 5.550% due 8/15/41 | | | 81,396 | |
| | 73,000 | | | BBB | | 4.350% due 6/15/45 | | | 63,240 | |
| | 382,000 | | | BBB | | 4.750% due 5/15/46 | | | 346,304 | |
| | 238,000 | | | BBB | | 4.500% due 3/9/48 | | | 206,110 | |
| | 270,000 | | | BBB | | 3.500% due 9/15/53 | | | 192,716 | |
| | 1,572,000 | | | BBB | | 3.550% due 9/15/55 | | | 1,114,597 | |
| | 72,000 | | | BBB | | 3.800% due 12/1/57 | | | 52,977 | |
| | 432,000 | | | BBB | | 3.650% due 9/15/59 | | | 305,795 | |
| | 18,000 | | | BBB | | 3.850% due 6/1/60 | | | 13,215 | |
| | 900,000 | GBP | | BB+ | | British Telecommunications PLC, Company Guaranteed Notes, (Cost — $1,225,883,
acquired 3/7/24), 8.375% (5-Year UK Government Note Generic Bid Yield + 3.820%)
due 12/20/83(c)(d) | | | 1,278,769 | |
| | | | | | Cisco Systems Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | AA- | | 4.800% due 2/26/27 | | | 50,817 | |
| | 50,000 | | | AA- | | 5.900% due 2/15/39 | | | 55,386 | |
| | 50,000 | | | AA- | | 5.500% due 1/15/40 | | | 53,171 | |
| | 50,000 | | | AA- | | 5.300% due 2/26/54 | | | 51,760 | |
| | 25,000 | | | AA- | | 5.350% due 2/26/64 | | | 25,897 | |
| | 800,000 | | | B+ | | Colombia Telecomunicaciones SA ESP, Senior Unsecured Notes, 4.950% due 7/17/30(a) | | | 684,836 | |
| | 50,000 | | | CCC+ | | CommScope LLC, Senior Secured Notes, 4.750% due 9/1/29(a) | | | 40,375 | |
| | | | | | Corning Inc., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 5.350% due 11/15/48 | | | 24,945 | |
| | 25,000 | | | BBB+ | | 4.375% due 11/15/57 | | | 20,692 | |
| | 63,000 | | | BBB | | Juniper Networks Inc., Senior Unsecured Notes, 2.000% due 12/10/30 | | | 53,511 | |
| | | | | | Motorola Solutions Inc., Senior Unsecured Notes: | | | | |
| | 83,000 | | | BBB | | 4.600% due 5/23/29 | | | 83,188 | |
| | 37,000 | | | BBB | | 2.750% due 5/24/31 | | | 32,735 | |
| | 26,000 | | | BBB | | 5.600% due 6/1/32 | | | 27,154 | |
| | 570,000 | | | BBB- | | Nokia OYJ, Senior Unsecured Notes, 6.625% due 5/15/39 | | | 603,099 | |
| | 670,000 | EUR | | BB+ | | Optics Bidco SpA, Senior Secured Notes, 1.625% due 1/18/29(h) | | | 673,867 | |
| | | | | | Rogers Communications Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB- | | 3.200% due 3/15/27 | | | 96,751 | |
| | 690,000 | | | BBB- | | 5.300% due 2/15/34 | | | 696,828 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 246,563 | | | A1(b) | | 4.738% due 3/20/25(a) | | | 245,892 | |
| | 1,500,000 | | | A1(b) | | 5.152% due 3/20/28(a) | | | 1,508,327 | |
| | 330,000 | EUR | | BB | | Telecom Italia SpA, Senior Unsecured Notes, (Cost — $316,986, acquired 3/6/24), 1.625%
due 1/18/29(c) | | | 329,187 | |
| | | | | | Telefonica Emisiones SA, Company Guaranteed Notes: | | | | |
| | 330,000 | | | BBB- | | 4.103% due 3/8/27 | | | 326,449 | |
| | 150,000 | | | BBB- | | 5.213% due 3/8/47 | | | 138,899 | |
| | 1,000,000 | EUR | | BB | | Telefonica Europe BV, Company Guaranteed Notes, (Cost — $1,127,383, acquired 3/7/24), 6.135% (7-Year EUR Swap Rate + 3.347%)(c)(d)(e) | | | 1,175,559 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 170,000 | | | BBB | | 3.500% due 4/15/25 | | | 168,199 | |
| | 40,000 | | | BBB | | 2.250% due 2/15/26 | | | 38,694 | |
| | 200,000 | | | BBB | | 2.625% due 4/15/26 | | | 194,022 | |
| | 172,000 | | | BBB | | 3.750% due 4/15/27 | | | 168,893 | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Telecommunications — 1.4% — (continued) | |
| $ | 110,000 | | | BBB | | 2.625% due 2/15/29 | | $ | 101,551 | |
| | 300,000 | | | BBB | | 3.375% due 4/15/29 | | | 285,333 | |
| | 830,000 | | | BBB | | 3.875% due 4/15/30 | | | 798,538 | |
| | 100,000 | | | BBB | | 2.550% due 2/15/31 | | | 87,945 | |
| | 80,000 | | | BBB | | 2.875% due 2/15/31 | | | 71,855 | |
| | 1,930,000 | | | BBB | | 3.500% due 4/15/31 | | | 1,795,986 | |
| | 290,000 | | | BBB | | 2.250% due 11/15/31 | | | 246,316 | |
| | 330,000 | | | BBB | | 2.700% due 3/15/32 | | | 286,419 | |
| | 599,000 | | | BBB | | 5.050% due 7/15/33 | | | 606,844 | |
| | 110,000 | | | BBB | | 5.150% due 4/15/34 | | | 112,094 | |
| | 200,000 | | | BBB | | 4.375% due 4/15/40 | | | 180,788 | |
| | 60,000 | | | BBB | | 3.000% due 2/15/41 | | | 44,951 | |
| | 110,000 | | | BBB | | 3.300% due 2/15/51 | | | 77,958 | |
| | 100,000 | | | BBB | | 3.400% due 10/15/52 | | | 71,480 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 96,667 | |
| | 200,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 198,435 | |
| | 37,000 | | | BBB+ | | 4.016% due 12/3/29 | | | 36,232 | |
| | 640,000 | | | BBB+ | | 3.150% due 3/22/30 | | | 597,261 | |
| | 138,000 | | | BBB+ | | 1.680% due 10/30/30 | | | 117,188 | |
| | 385,000 | | | BBB+ | | 1.750% due 1/20/31 | | | 323,646 | |
| | 505,000 | | | BBB+ | | 2.550% due 3/21/31 | | | 444,788 | |
| | 281,000 | | | BBB+ | | 2.355% due 3/15/32 | | | 238,986 | |
| | 114,000 | | | BBB+ | | 5.050% due 5/9/33 | | | 116,147 | |
| | 1,410,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 1,372,524 | |
| | 20,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 19,218 | |
| | 964,000 | | | BBB+ | | 4.780% due 2/15/35(a) | | | 950,748 | |
| | 301,000 | | | BBB+ | | 5.850% due 9/15/35 | | | 320,860 | |
| | 21,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 19,835 | |
| | 10,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 10,262 | |
| | 333,000 | | | BBB+ | | 2.650% due 11/20/40 | | | 239,779 | |
| | 50,000 | | | BBB+ | | 3.400% due 3/22/41 | | | 39,953 | |
| | 100,000 | | | BBB+ | | 4.125% due 8/15/46 | | | 84,883 | |
| | 10,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 9,480 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 21,040 | |
| | 140,000 | | | BBB+ | | 4.000% due 3/22/50 | | | 114,705 | |
| | 250,000 | | | BBB+ | | 2.875% due 11/20/50 | | | 165,714 | |
| | 150,000 | | | BBB+ | | 3.550% due 3/22/51 | | | 113,231 | |
| | 69,000 | | | BBB+ | | 2.987% due 10/30/56 | | | 44,494 | |
| | 100,000 | | | BBB+ | | 3.000% due 11/20/60 | | | 63,121 | |
| | 200,000 | | | B+ | | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.750% due 7/15/31(a) | | | 175,689 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 9,000 | | | BBB | | 6.150% due 2/27/37 | | | 9,788 | |
| | 25,000 | | | BBB | | 4.875% due 6/19/49 | | | 22,654 | |
| | 50,000 | | | BBB | | 4.250% due 9/17/50 | | | 40,940 | |
| | 750,000 | | | BBB | | 5.750% due 6/28/54 | | | 760,970 | |
| | 935,000 | EUR | | Ba3(b) | | Zegona Finance PLC, Senior Secured Notes, 6.750% due 7/15/29(a) | | | 1,060,082 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 25,814,153 | |
| | | | | | | | | | |
|
| Toys/Games/Hobbies — 0.1% | |
| | 1,250,000 | | | BBB | | Mattel Inc., Company Guaranteed Notes, 5.875% due 12/15/27(a) | | | 1,264,616 | |
| | | | | | | | | | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Transportation — 0.2% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| $ | 351,000 | | | AA- | | 4.150% due 12/15/48 | | $ | 301,160 | |
| | 52,000 | | | AA- | | 3.050% due 2/15/51 | | | 36,401 | |
| | 174,000 | | | AA- | | 2.875% due 6/15/52 | | | 117,072 | |
| | | | | | Canadian National Railway Co., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A- | | 3.200% due 8/2/46 | | | 18,935 | |
| | 25,000 | | | A- | | 3.650% due 2/3/48 | | | 20,273 | |
| | 25,000 | | | A- | | 4.450% due 1/20/49 | | | 22,832 | |
| | | | | | Canadian Pacific Railway Co., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.300% due 5/15/43 | | | 22,161 | |
| | 25,000 | | | BBB+ | | 4.700% due 5/1/48 | | | 22,941 | |
| | 25,000 | | | BBB+ | | 3.500% due 5/1/50 | | | 18,916 | |
| | 270,000 | | | BBB+ | | 3.100% due 12/2/51 | | | 188,422 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.100% due 11/15/32 | | | 24,246 | |
| | 25,000 | | | BBB+ | | 4.750% due 5/30/42 | | | 23,727 | |
| | 25,000 | | | BBB+ | | 3.800% due 11/1/46 | | | 20,323 | |
| | 25,000 | | | BBB+ | | 4.750% due 11/15/48 | | | 23,398 | |
| | 25,000 | | | BBB+ | | 3.350% due 9/15/49 | | | 18,498 | |
| | 25,000 | | | BBB+ | | 3.800% due 4/15/50 | | | 20,364 | |
| | 25,000 | | | BBB+ | | 3.950% due 5/1/50 | | | 20,765 | |
| | 25,000 | | | BBB+ | | 4.500% due 11/15/52 | | | 22,601 | |
| | 25,000 | | | BBB+ | | 4.500% due 8/1/54 | | | 22,399 | |
| | 25,000 | | | BBB+ | | 4.250% due 11/1/66 | | | 20,665 | |
| | | | | | FedEx Corp., Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB | | 3.250% due 5/15/41 | | | 19,201 | |
| | 25,000 | | | BBB | | 4.100% due 4/15/43 | | | 20,961 | |
| | 25,000 | | | BBB | | 5.100% due 1/15/44 | | | 24,068 | |
| | 25,000 | | | BBB | | 4.100% due 2/1/45 | | | 20,621 | |
| | 25,000 | | | BBB | | 4.750% due 11/15/45 | | | 22,599 | |
| | 50,000 | | | BBB | | 4.550% due 4/1/46 | | | 43,857 | |
| | 25,000 | | | BBB | | 4.400% due 1/15/47 | | | 21,330 | |
| | 25,000 | | | BBB | | 4.050% due 2/15/48 | | | 20,279 | |
| | 25,000 | | | BBB | | 4.950% due 10/17/48 | | | 23,111 | |
| | 24,000 | | | BBB | | 5.250% due 5/15/50 | | | 23,287 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 146,000 | | | BBB+ | | 2.550% due 11/1/29 | | | 133,850 | |
| | 166,000 | | | BBB+ | | 2.300% due 5/15/31 | | | 145,242 | |
| | 188,000 | | | BBB+ | | 3.942% due 11/1/47 | | | 153,515 | |
| | 52,000 | | | BBB+ | | 3.155% due 5/15/55 | | | 35,035 | |
| | 100,000 | | | BBB+ | | Ryder System Inc., Senior Unsecured Notes, 5.300% due 3/15/27 | | | 101,662 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 2.150% due 2/5/27 | | | 57,134 | |
| | 403,000 | | | A- | | 2.800% due 2/14/32 | | | 361,514 | |
| | 884,000 | | | A- | | 2.891% due 4/6/36 | | | 747,474 | |
| | 35,000 | | | A- | | 4.300% due 3/1/49 | | | 30,664 | |
| | 188,000 | | | A- | | 3.250% due 2/5/50 | | | 138,279 | |
| | 45,000 | | | A- | | 2.950% due 3/10/52 | | | 30,954 | |
| | 144,000 | | | A- | | 3.500% due 2/14/53 | | | 109,437 | |
| | 320,000 | | | A- | | 3.839% due 3/20/60 | | | 248,894 | |
| | 10,000 | | | A- | | 3.750% due 2/5/70 | | | 7,376 | |
| | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 2.400% due 11/15/26 | | | 96,052 | |
| | 50,000 | | | A | | 4.875% due 3/3/33 | | | 51,141 | |
| | 50,000 | | | A | | 5.150% due 5/22/34 | | | 51,899 | |
| | 25,000 | | | A | | 6.200% due 1/15/38 | | | 28,086 | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Transportation — 0.2% — (continued) | |
| $ | 25,000 | | | A | | 4.250% due 3/15/49 | | $ | 21,737 | |
| | 25,000 | | | A | | 3.400% due 9/1/49 | | | 19,039 | |
| | 25,000 | | | A | | 5.300% due 4/1/50 | | | 25,379 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 3,819,776 | |
| | | | | | | | | | |
|
| Trucking & Leasing — 0.1% | |
| | 1,070,000 | | | B+ | | Fortress Transportation & Infrastructure Investors LLC, Company Guaranteed Notes, 7.000% due 6/15/32(a) | | | 1,120,047 | |
| | | | | | GATX Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB | | 5.400% due 3/15/27 | | | 25,481 | |
| | 25,000 | | | BBB | | 3.850% due 3/30/27 | | | 24,541 | |
| | 25,000 | | | BBB | | 4.700% due 4/1/29 | | | 25,019 | |
| | 25,000 | | | BBB | | 4.000% due 6/30/30 | | | 24,123 | |
| | 25,000 | | | BBB | | 3.500% due 6/1/32 | | | 22,537 | |
| | 25,000 | | | BBB | | 5.450% due 9/15/33 | | | 25,699 | |
| | 25,000 | | | BBB | | 6.900% due 5/1/34 | | | 28,235 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 1,295,682 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $567,853,103) | | | 577,220,151 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 28.3% | |
|
| FHLMC — 8.3% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 2,596,555 | | | | | 4.500% due 4/1/29 — 12/1/52 | | | 2,541,535 | |
| | 23,264,551 | | | | | 5.500% due 1/1/30 — 1/1/54 | | | 23,516,675 | |
| | 22,797,500 | | | | | 3.000% due 3/1/31 — 6/1/52 | | | 20,509,084 | |
| | 6,496,643 | | | | | 1.500% due 5/1/31 — 12/1/50 | | | 5,398,475 | |
| | 27,223,685 | | | | | 2.500% due 11/1/31 — 5/1/52 | | | 23,494,030 | |
| | 10,586,971 | | | | | 3.500% due 4/1/33 — 6/1/52 | | | 9,921,684 | |
| | 7,408,461 | | | | | 5.000% due 12/1/34 — 7/1/53 | | | 7,396,834 | |
| | 35,803,139 | | | | | 2.000% due 3/1/36 — 5/1/52 | | | 29,918,104 | |
| | 16,498,899 | | | | | 4.000% due 4/1/38 — 5/1/54 | | | 15,929,717 | |
| | 9,766,362 | | | | | 6.000% due 5/1/38 — 5/1/54 | | | 9,982,891 | |
| | 4,901 | | | | | 7.000% due 3/1/39 | | | 5,250 | |
| | 3,986,015 | | | | | 6.500% due 9/1/39 — 11/1/53 | | | 4,117,220 | |
| | 77,347 | | | | | 2.131% (5-Year CMT Index + 1.287%) due 3/1/47(d) | | | 74,384 | |
| | 246,623 | | | | | 2.919% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.619%)
due 11/1/47(d) | | | 244,982 | |
| | 424,579 | | | | | 3.006% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.627%)
due 11/1/48(d) | | | 409,027 | |
| | 100,930 | | | | | 3.098% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.621%)
due 2/1/50(d) | | | 98,675 | |
| | 553,220 | | | | | 2.634% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.634%)
due 12/1/50(d) | | | 520,088 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 154,078,655 | |
| | | | | | | | | | |
|
| FNMA — 11.8% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 10,055,313 | | | | | 4.000% due 5/1/25 — 6/1/57 | | | 9,620,064 | |
| | 12,270,494 | | | | | 3.500% due 11/1/25 — 5/1/52 | | | 11,481,917 | |
| | 8,857,801 | | | | | 5.500% due 3/1/26 — 9/1/56 | | | 8,965,401 | |
| | 59,230,060 | | | | | 2.500% due 11/1/27 — 6/1/62 | | | 51,162,025 | |
| | 28,871,091 | | | | | 3.000% due 12/1/27 — 9/1/61 | | | 26,154,501 | |
| | 24,976,412 | | | | | 4.500% due 3/1/29 — 8/1/58 | | | 24,421,357 | |
| | 10,122,702 | | | | | 5.000% due 3/1/29 — 7/1/53 | | | 10,092,801 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | Security | | Value | |
|
| FNMA — 11.8% — (continued) | |
| $ | 6,342,861 | | | | | 1.500% due 6/1/31 — 8/1/51 | | $ | 5,359,726 | |
| | 43,320 | | | | | 6.528% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.527%)
due 3/1/34(d) | | | 43,715 | |
| | 3,843,408 | | | | | 6.000% due 8/1/34 — 7/1/53 | | | 3,946,576 | |
| | 7,585 | | | | | 7.096% (1-Year Treasury Average Rate + 1.919%) due 10/1/35(d) | | | 7,740 | |
| | 2,489 | | | | | 7.005% (1-Year Treasury Average Rate + 1.831%) due 11/1/35(d) | | | 2,512 | |
| | 6,537 | | | | | 7.101% (1-Year Treasury Average Rate + 1.952%) due 11/1/35(d) | | | 6,677 | |
| | 51,319,393 | | | | | 2.000% due 6/1/36 — 4/1/52 | | | 43,042,333 | |
| | 6,794 | | | | | 7.000% due 4/1/37 | | | 6,864 | |
| | 100,000 | | | | | 3.870% due 5/1/37 | | | 94,485 | |
| | 35,801 | | | | | 6.640% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.265%)
due 5/1/37(d) | | | 35,966 | |
| | 663,652 | | | | | 6.500% due 9/1/37 — 4/1/54 | | | 688,339 | |
| | 6,050,000 | | | | | 2.000% due 9/1/39 — 9/1/54(j) | | | 5,032,750 | |
| | 3,195,000 | | | | | 2.500% due 9/1/39 — 9/1/54(j) | | | 2,948,387 | |
| | 675,000 | | | | | 3.000% due 9/1/39(j) | | | 641,171 | |
| | 775,000 | | | | | 4.000% due 9/1/39(j) | | | 764,103 | |
| | 1,560,000 | | | | | 3.500% due 9/1/43(j) | | | 1,513,888 | |
| | 8,040,000 | | | | | 3.500% due 9/1/54(j) | | | 7,405,124 | |
| | 850,000 | | | | | 5.500% due 9/1/54(j) | | | 856,138 | |
| | 2,300,000 | | | | | 6.000% due 9/1/54(j) | | | 2,342,443 | |
| | 3,325,000 | | | | | 6.500% due 9/1/54(j) | | | 3,422,313 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 220,059,316 | |
| | | | | | | | | | |
|
| GNMA — 8.2% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 11,379 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 11,683 | |
| | 248,707 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 252,924 | |
| | 18,089 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 18,677 | |
| | 26,867 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 27,963 | |
| | 38,195 | | | | | 4.500% due 3/15/41 | | | 38,253 | |
| | 320,928 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 316,122 | |
| | 155,479 | | | | | 3.000% due 9/15/42 — 10/15/42 | | | 144,092 | |
| | 93,294 | | | | | 3.500% due 6/15/48 — 5/15/50 | | | 88,536 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 4,414,176 | | | | | 6.000% due 7/20/37 — 2/20/54 | | | 4,526,744 | |
| | 9,336,841 | | | | | 4.500% due 1/20/40 — 5/20/53 | | | 9,201,630 | |
| | 13,793,531 | | | | | 5.000% due 7/20/40 — 4/20/54 | | | 13,795,363 | |
| | 8,677,831 | | | | | 4.000% due 11/20/40 — 11/20/52 | | | 8,334,021 | |
| | 17,854,674 | | | | | 3.000% due 1/20/43 — 4/20/53 | | | 16,183,416 | |
| | 15,740,090 | | | | | 3.500% due 6/20/43 — 12/20/52 | | | 14,718,161 | |
| | 20,767,537 | | | | | 2.000% due 8/20/50 — 4/20/52 | | | 17,464,555 | |
| | 22,763,868 | | | | | 2.500% due 9/20/50 — 5/20/52 | | | 19,886,572 | |
| | 5,997,210 | | | | | 5.500% due 11/20/52 — 9/20/53 | | | 6,047,654 | |
| | 3,594,940 | | | | | 6.500% due 9/20/53 — 1/20/54 | | | 3,713,212 | |
| | 900,000 | | | | | 2.500% due 9/20/54(j) | | | 786,975 | |
| | 14,170,000 | | | | | 5.500% due 9/20/54(j) | | | 14,268,477 | |
| | 19,690,000 | | | | | 6.000% due 9/20/54(j) | | | 19,983,933 | |
| | 3,055,000 | | | | | 6.500% due 9/20/54(j) | | | 3,119,680 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 152,928,643 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $541,351,087) | | | 527,066,614 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 21.7% | |
|
| U.S. GOVERNMENT AGENCIES — 0.3% | |
| | 2,720,000 | | | | | Federal Farm Credit Banks Funding Corp., 3.500% due 2/28/39 | | | 2,446,263 | |
| | | | | | Federal Home Loan Banks: | | | | |
| | 635,000 | | | | | 0.920% due 2/26/27 | | | 589,858 | |
| | 690,000 | | | | | 2.490% due 3/26/40 | | | 517,837 | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT AGENCIES — 0.3% — (continued) | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| $ | 575,000 | | | | | zero coupon due 1/15/30(k) | | $ | 465,555 | |
| | 595,000 | | | | | zero coupon due 5/15/30(k) | | | 474,699 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT AGENCIES | | | 4,494,212 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 21.4% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 2,370,000 | | | | | 5.000% due 5/15/37 | | | 2,621,442 | |
| | 2,835,000 | | | | | 4.375% due 2/15/38 | | | 2,955,820 | |
| | 1,500,000 | | | | | 1.125% due 8/15/40 | | | 964,775 | |
| | 620,000 | | | | | 1.375% due 11/15/40 | | | 412,821 | |
| | 6,000,000 | | | | | 1.875% due 2/15/41 | | | 4,325,391 | |
| | 2,270,000 | | | | | 3.125% due 11/15/41 | | | 1,969,757 | |
| | 1,435,000 | | | | | 2.375% due 2/15/42 | | | 1,098,924 | |
| | 180,000 | | | | | 3.250% due 5/15/42 | | | 157,191 | |
| | 1,115,000 | | | | | 3.375% due 8/15/42 | | | 988,779 | |
| | 2,320,000 | | | | | 4.000% due 11/15/42 | | | 2,243,059 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 85,043 | |
| | 3,975,000 | | | | | 3.875% due 2/15/43 | | | 3,770,039 | |
| | 10,335,000 | | | | | 3.875% due 5/15/43 | | | 9,779,897 | |
| | 502,500 | | | | | 3.625% due 8/15/43 | | | 458,041 | |
| | 935,000 | | | | | 4.375% due 8/15/43 | | | 946,601 | |
| | 10,310,000 | | | | | 3.750% due 11/15/43 | | | 9,556,081 | |
| | 920,000 | | | | | 4.750% due 11/15/43 | | | 977,356 | |
| | 1,125,000 | | | | | 3.625% due 2/15/44 | | | 1,022,871 | |
| | 1,830,000 | | | | | 4.500% due 2/15/44 | | | 1,880,039 | |
| | 23,005,000 | | | | | 4.625% due 5/15/44 | | | 24,011,469 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 348,616 | |
| | 1,375,000 | | | | | 3.000% due 11/15/44 | | | 1,130,078 | |
| | 245,000 | | | | | 2.875% due 8/15/45 | | | 196,230 | |
| | 1,412,500 | | | | | 3.000% due 11/15/45 | | | 1,153,946 | |
| | 3,490,000 | | | | | 2.500% due 2/15/46 | | | 2,599,096 | |
| | 1,110,000 | | | | | 2.875% due 11/15/46 | | | 879,328 | |
| | 3,723,000 | | | | | 3.000% due 2/15/47 | | | 3,009,522 | |
| | 3,425,000 | | | | | 3.000% due 5/15/47 | | | 2,763,547 | |
| | 880,000 | | | | | 2.750% due 8/15/47 | | | 676,637 | |
| | 1,040,000 | | | | | 3.000% due 2/15/48 | | | 834,153 | |
| | 995,000 | | | | | 3.375% due 11/15/48 | | | 850,395 | |
| | 1,560,000 | | | | | 3.000% due 2/15/49 | | | 1,244,770 | |
| | 510,000 | | | | | 2.875% due 5/15/49 | | | 397,003 | |
| | 2,960,000 | | | | | 2.000% due 2/15/50 | | | 1,901,337 | |
| | 4,600,000 | | | | | 1.250% due 5/15/50 | | | 2,425,781 | |
| | 7,525,000 | | | | | 1.375% due 8/15/50 | | | 4,089,955 | |
| | 4,315,000 | | | | | 1.625% due 11/15/50 | | | 2,503,711 | |
| | 2,003,000 | | | | | 1.875% due 2/15/51 | | | 1,239,513 | |
| | 4,040,000 | | | | | 2.375% due 5/15/51 | | | 2,811,982 | |
| | 3,310,000 | | | | | 2.000% due 8/15/51 | | | 2,105,535 | |
| | 2,871,000 | | | | | 1.875% due 11/15/51 | | | 1,767,684 | |
| | 2,989,000 | | | | | 2.250% due 2/15/52 | | | 2,017,633 | |
| | 280,000 | | | | | 2.875% due 5/15/52 | | | 217,038 | |
| | 272,000 | | | | | 3.000% due 8/15/52 | | | 216,442 | |
| | 2,814,000 | | | | | 4.000% due 11/15/52 | | | 2,708,943 | |
| | 5,776,000 | | | | | 3.625% due 2/15/53 | | | 5,196,821 | |
| | 420,000 | | | | | 3.625% due 5/15/53 | | | 378,115 | |
| | 904,000 | | | | | 4.125% due 8/15/53 | | | 890,316 | |
| | 6,075,000 | | | | | 4.750% due 11/15/53(o)(p) | | | 6,636,122 | |
| | 22,438,000 | | | | | 4.250% due 2/15/54 | | | 22,589,035 | |
| | 7,295,000 | | | | | 4.625% due 5/15/54 | | | 7,819,328 | |
| | 200,000 | | | | | 4.250% due 8/15/54 | | | 201,828 | |
| | 1,508,250 | | | | | U.S. Treasury Inflation Indexed Notes, 1.125% due 1/15/33 | | | 1,435,529 | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 21.4% — (continued) | |
| | | | | | U.S. Treasury Notes: | | | | |
| $ | 365,000 | | | | | 0.250% due 9/30/25 | | $ | 349,509 | |
| | 4,663,000 | | | | | 4.500% due 11/15/25 | | | 4,676,927 | |
| | 1,610,000 | | | | | 0.375% due 11/30/25 | | | 1,535,537 | |
| | 9,845,000 | | | | | 4.875% due 11/30/25 | | | 9,918,838 | |
| | 620,000 | | | | | 0.375% due 12/31/25 | | | 589,848 | |
| | 5,045,000 | | | | | 4.250% due 12/31/25 | | | 5,048,252 | |
| | 375,000 | | | | | 0.375% due 1/31/26 | | | 355,840 | |
| | 9,385,000 | | | | | 4.000% due 2/15/26 | | | 9,370,519 | |
| | 4,214,000 | | | | | 0.500% due 2/28/26 | | | 3,996,469 | |
| | 4,995,000 | | | | | 4.625% due 3/15/26 | | | 5,034,511 | |
| | 1,759,000 | | | | | 3.750% due 4/15/26 | | | 1,750,823 | |
| | 236,000 | | | | | 0.750% due 4/30/26 | | | 223,656 | |
| | 1,183,000 | | | | | 3.625% due 5/15/26 | | | 1,175,260 | |
| | 150,000 | | | | | 4.875% due 5/31/26 | | | 152,121 | |
| | 1,324,000 | | | | | 4.500% due 7/15/26 | | | 1,336,438 | |
| | 1,270,000 | | | | | 4.625% due 9/15/26 | | | 1,287,140 | |
| | 1,605,000 | | | | | 4.625% due 10/15/26 | | | 1,628,072 | |
| | 1,064,000 | | | | | 4.625% due 11/15/26 | | | 1,080,293 | |
| | 2,000,000 | | | | | 4.000% due 1/15/27 | | | 2,006,172 | |
| | 6,000,000 | | | | | 4.125% due 2/15/27 | | | 6,037,383 | |
| | 770,000 | | | | | 1.875% due 2/28/27 | | | 734,327 | |
| | 8,000,000 | | | | | 4.250% due 3/15/27 | | | 8,081,875 | |
| | 6,000,000 | | | | | 2.500% due 3/31/27 | | | 5,809,219 | |
| | 2,000,000 | | | | | 4.500% due 4/15/27 | | | 2,033,086 | |
| | 3,000,000 | | | | | 2.750% due 4/30/27 | | | 2,919,375 | |
| | 2,000,000 | | | | | 4.500% due 5/15/27 | | | 2,034,063 | |
| | 6,000,000 | | | | | 2.625% due 5/31/27 | | | 5,815,547 | |
| | 2,000,000 | | | | | 4.625% due 6/15/27 | | | 2,043,281 | |
| | 1,000,000 | | | | | 4.375% due 7/15/27 | | | 1,015,430 | |
| | 765,000 | | | | | 2.750% due 7/31/27 | | | 742,872 | |
| | 6,955,000 | | | | | 3.750% due 8/15/27 | | | 6,947,121 | |
| | 2,160,000 | | | | | 3.125% due 8/31/27 | | | 2,119,373 | |
| | 1,343,000 | | | | | 4.125% due 10/31/27 | | | 1,356,220 | |
| | 2,000,000 | | | | | 3.875% due 12/31/27 | | | 2,007,224 | |
| | 581,000 | | | | | 4.875% due 10/31/28 | | | 605,852 | |
| | 235,000 | | | | | 1.500% due 11/30/28 | | | 214,392 | |
| | 6,000 | | | | | 4.375% due 11/30/28 | | | 6,146 | |
| | 2,815,000 | | | | | 3.750% due 12/31/28 | | | 2,815,055 | |
| | 6,374,000 | | | | | 4.000% due 1/31/29 | | | 6,439,483 | |
| | 7,505,000 | | | | | 4.250% due 2/28/29 | | | 7,664,921 | |
| | 415,000 | | | | | 2.375% due 3/31/29 | | | 391,056 | |
| | 6,010,000 | | | | | 4.125% due 3/31/29 | | | 6,105,784 | |
| | 5,000,000 | | | | | 4.625% due 4/30/29 | | | 5,187,500 | |
| | 2,000,000 | | | | | 4.500% due 5/31/29 | | | 2,066,406 | |
| | 4,000,000 | | | | | 4.250% due 6/30/29 | | | 4,089,531 | |
| | 17,350,000 | | | | | 4.000% due 7/31/29 | | | 17,557,387 | |
| | 23,800,000 | | | | | 3.625% due 8/31/29 | | | 23,704,242 | |
| | 285,000 | | | | | 3.875% due 9/30/29 | | | 286,559 | |
| | 2,687,000 | | | | | 3.875% due 11/30/29 | | | 2,701,695 | |
| | 3,431,000 | | | | | 3.625% due 3/31/30 | | | 3,405,267 | |
| | 1,556,000 | | | | | 3.750% due 5/31/30 | | | 1,553,690 | |
| | 1,545,000 | | | | | 4.875% due 10/31/30 | | | 1,636,614 | |
| | 2,362,000 | | | | | 4.375% due 11/30/30 | | | 2,437,243 | |
| | 1,000,000 | | | | | 3.750% due 12/31/30 | | | 997,402 | |
| | 5,830,000 | | | | | 4.000% due 1/31/31 | | | 5,895,929 | |
| | 6,000,000 | | | | | 1.125% due 2/15/31 | | | 5,102,578 | |
| | 1,345,000 | | | | | 4.250% due 2/28/31 | | | 1,379,597 | |
| | 5,000,000 | | | | | 4.125% due 3/31/31 | | | 5,093,457 | |
| | 1,000,000 | | | | | 4.625% due 5/31/31 | | | 1,048,008 | |
See Notes to Financial Statements.
179
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 21.4% — (continued) | |
| $ | 800,000 | | | | | 4.250% due 6/30/31 | | $ | 821,250 | |
| | 1,000,000 | | | | | 4.125% due 7/31/31 | | | 1,019,063 | |
| | 20,000 | | | | | 1.250% due 8/15/31 | | | 16,891 | |
| | 270,000 | | | | | 2.875% due 5/15/32 | | | 252,729 | |
| | 5,000,000 | | | | | 2.750% due 8/15/32 | | | 4,626,074 | |
| | 4,063,000 | | | | | 4.125% due 11/15/32 | | | 4,141,167 | |
| | 1,447,000 | | | | | 3.875% due 8/15/33 | | | 1,445,010 | |
| | 3,294,000 | | | | | 4.500% due 11/15/33 | | | 3,446,090 | |
| | 4,875,000 | | | | | 4.000% due 2/15/34 | | | 4,910,615 | |
| | 13,225,000 | | | | | 3.875% due 8/15/34 | | | 13,186,772 | |
| | 2,020,000 | | | | | U.S. Treasury Strip Principal, zero coupon due 5/15/49(k) | | | 696,062 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT OBLIGATIONS | | | 399,621,503 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $420,940,819) | | | 404,115,715 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% | |
| | 690,000 | | | AAA(f) | | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, 6.506%
(1-Month Term SOFR + 1.180%) due 9/15/34(a)(d) | | | 663,015 | |
| | 633,865 | | | Aaa(b) | | 321 Henderson Receivables V LLC, Series 2008-3A, Class A1, 8.000% due 6/15/45(a) | | | 714,526 | |
| | 2,205,000 | | | AAA | | A&D Mortgage Trust, Series 2024-NQM4, Class A1, 5.464% due 8/25/69(a) | | | 2,210,776 | |
| | 370,000 | | | AAA | | AB BSL CLO 4 Ltd., Series 2023-4A, Class A, 7.282%
(3-Month Term SOFR + 2.000%) due 4/20/36(a)(d) | | | 371,420 | |
| | 61,964 | | | CC | | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 6.042%
(1-Month Term SOFR + 0.764%) due 6/25/29(d) | | | 52,480 | |
| | 1,100,000 | | | Aaa(b) | | AGL CLO 1 Ltd., Series 2019-1A, Class AR, 6.724%
(3-Month Term SOFR + 1.442%) due 10/20/34(a)(d) | | | 1,101,807 | |
| | 500,000 | | | AAA | | AIMCO CLO, Series 2017-AA, Class AR, 6.594%
(3-Month Term SOFR + 1.312%) due 4/20/34(a)(d) | | | 500,000 | |
| | 615,000 | | | Aa2(b) | | Allegro CLO XIII Ltd., Series 2021-1A, Class B, 7.244%
(3-Month Term SOFR + 1.962%) due 7/20/34(a)(d) | | | 615,334 | |
| | 799,790 | | | AAA(f) | | Angel Oak Mortgage Trust, Series 2023-1, Class A1, step bond to yield, 4.750% due 9/26/67(a) | | | 797,134 | |
| | 900,000 | | | BBB | | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824% due 3/5/53(a) | | | 944,340 | |
| | 210,000 | | | A3(b) | | Aqua Finance Trust, Series 2020-AA, Class C, 3.970% due 7/17/46(a) | | | 198,091 | |
| | 930,000 | | | Aaa(b) | | Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, 7.051%
(3-Month Term SOFR + 1.750%) due 10/15/36(a)(d) | | | 935,753 | |
| | 495,020 | | | AAA | | Balboa Bay Loan Funding Ltd., Series 2020-1A, Class AR, 6.664%
(3-Month Term SOFR + 1.382%) due 1/20/32(a)(d) | | | 495,561 | |
| | 820,000 | | | AAA | | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class AMP, 3.287% due 11/5/32(a) | | | 796,066 | |
| | 12,801 | | | AA+ | | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 6.644% due 7/25/34(d) | | | 12,308 | |
| | 1,060,000 | | | Aaa(b) | | BANK, Series 2017-BNK7, Class A4, 3.175% due 9/15/60 | | | 1,019,513 | |
| | 560,000 | | | A-(f) | | BANK5 Trust, Series 2024-5YR6, Class C, 7.199% due 5/15/57(d) | | | 579,327 | |
| | | | | | BBCMS Mortgage Trust: | | | | |
| | 280,000 | | | AAA | | Series 2022-C16, Class A5, 4.600% due 6/15/55(d) | | | 277,334 | |
| | 590,000 | | | AAA | | Series 2023-C19, Class A2B, 5.753% due 4/15/56 | | | 601,123 | |
| | 5,431,833 | | | AAA | | Series 2023-C20, Class XA, 1.069% due 7/15/56(d)(l) | | | 286,916 | |
| | | | | | Benchmark Mortgage Trust: | | | | |
| | 213,000 | | | AAA | | Series 2019-B13, Class A4, 2.952% due 8/15/57 | | | 195,134 | |
| | 2,161,585 | | | Aa1(b) | | Series 2021-B28, Class XA, 1.378% due 8/15/54(d)(l) | | | 131,956 | |
| | 280,000 | | | Aaa(b) | | Birch Grove CLO 5 Ltd., Series 2023-5A, Class A1, 7.482%
(3-Month Term SOFR + 2.200%) due 4/20/35(a)(d) | | | 280,883 | |
| | 560,000 | | | Aaa(b) | | Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1, 7.082%
(3-Month Term SOFR + 1.800%) due 10/20/36(a)(d) | | | 562,738 | |
| | 650,000 | | | Aaa(b) | | BLP Commercial Mortgage Trust, Series 2023-IND, Class A, 7.029%
(1-Month Term SOFR + 1.692%) due 3/15/40(a)(d) | | | 646,892 | |
| | 280,000 | | | AAA | | BMO Mortgage Trust, Series 2022-C1, Class A5, 3.374% due 2/15/55(d) | | | 254,155 | |
| | | | | | BRAVO Residential Funding Trust: | | | | |
| | 549,454 | | | AAA(f) | | Series 2022-NQM3, Class A1, 5.108% due 7/25/62(a)(d) | | | 546,730 | |
| | 293,145 | | | AAA(f) | | Series 2024-NQM1, Class A1, step bond to yield, 5.943% due 12/1/63(a) | | | 295,810 | |
| | 630,000 | | | AAA(f) | | Series 2024-NQM5, Class A1, step bond to yield, 5.803% due 6/25/64(a) | | | 635,394 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| | | | | | BX Commercial Mortgage Trust: | | | | |
| $ | 883,195 | | | Aaa(b) | | Series 2021-CIP, Class A, 6.372% (1-Month Term SOFR + 1.035%) due 12/15/38(a)(d) | | $ | 873,998 | |
| | 211,172 | | | A3(b) | | Series 2021-XL2, Class D, 6.848% (1-Month Term SOFR + 1.511%) due 10/15/38(a)(d) | | | 206,175 | |
| | 340,000 | | | A2(b) | | Series 2024-BIO2, Class D, 7.970% due 8/13/41(a)(d) | | | 344,281 | |
| | 910,000 | | | BB-(f) | | Series 2024-KING, Class E, 9.025% (1-Month Term SOFR + 3.688%) due 5/15/34(a)(d) | | | 902,205 | |
| | 441,132 | | | Aaa(b) | | Series 2024-XL5, Class A, 6.729% (1-Month Term SOFR + 1.392%) due 3/15/41(a)(d) | | | 440,405 | |
| | 1,215,000 | | | BBB-(f) | | BX Mortgage Trust, Series 2021-PAC, Class D, 6.750%
(1-Month Term SOFR + 1.413%) due 10/15/36(a)(d) | | | 1,183,928 | |
| | | | | | BX Trust: | | | | |
| | 220,000 | | | BBB- | | Series 2021-ARIA, Class D, 7.347% (1-Month Term SOFR + 2.010%)
due 10/15/36(a)(d) | | | 215,379 | |
| | 311,791 | | | AAA | | Series 2021-RISE, Class A, 6.199% (1-Month Term SOFR + 0.862%)
due 11/15/36(a)(d) | | | 307,751 | |
| | 244,494 | | | Aaa(b) | | Series 2022-IND, Class A, 6.828% (1-Month Term SOFR + 1.491%) due 4/15/37(a)(d) | | | 243,827 | |
| | 901,000 | | | Aaa(b) | | Series 2022-VAMF, Class A, 6.187% (1-Month Term SOFR + 0.850%) due 1/15/39(a)(d) | | | 888,388 | |
| | 969,000 | | | A3(b) | | Series 2024-BIO, Class C, 7.977% (1-Month Term SOFR + 2.640%) due 2/15/41(a)(d) | | | 964,407 | |
| | 242,500 | | | NR | | Cajun Global LLC, Series 2021-1, Class A2, 3.931% due 11/20/51(a) | | | 225,784 | |
| | 940,000 | | | AAA | | Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A4, 3.006% due 1/15/53 | | | 850,668 | |
| | 1,020,000 | | | NR | | CarVal CLO XI C Ltd., Series 2024-3A, Class A1, zero coupon
(3-Month Term SOFR + 1.390%) due 10/20/37(a)(d) | | | 1,020,945 | |
| | 3,545,000 | | | NR | | CCAS LLC, Series 2024-1A, Class A, 7.124% due 6/16/31(a)(h) | | | 3,604,670 | |
| | 320,000 | | | Aaa(b) | | CD Mortgage Trust, Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | 301,700 | |
| | 181,039 | | | BBB | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A, Class A1, 5.662%
(1-Month Term SOFR + 0.384%) due 5/25/35(a)(d) | | | 175,620 | |
| | | | | | CIM Trust: | | | | |
| | 732,009 | | | NR | | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(d) | | | 681,445 | |
| | 419,195 | | | NR | | Series 2020-R6, Class A1A, 2.250% due 12/25/60(a)(d) | | | 374,520 | |
| | 1,601,935 | | | NR | | Series 2021-R1, Class A2, 2.400% due 8/25/56(a)(d) | | | 1,433,481 | |
| | 793,305 | | | NR | | Series 2021-R3, Class A1A, 1.951% due 6/25/57(a)(d) | | | 726,788 | |
| | 981,976 | | | NR | | Series 2021-R4, Class A1A, 2.000% due 5/1/61(a)(d) | | | 881,214 | |
| | 1,873,098 | | | NR | | Series 2021-R5, Class A1, 2.000% due 8/25/61(a)(d) | | | 1,572,944 | |
| | 2,131,170 | | | NR | | Series 2023-R1, Class A1A, 5.400% due 4/25/62(a)(d) | | | 2,056,084 | |
| | 1,861,808 | | | NR | | Series 2023-R3, Class A1A, 4.500% due 1/25/63(a)(d) | | | 1,842,137 | |
| | 788,956 | | | AAA(f) | | Series 2023-R4, Class A1, 5.000% due 5/25/62(a)(d) | | | 788,690 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 128,278 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 125,129 | |
| | 1,550,000 | | | AA-(f) | | Series 2015-GC29, Class B, 3.758% due 4/10/48(d) | | | 1,512,072 | |
| | 285,000 | | | Aa3(b) | | Series 2016-C2, Class B, 3.176% due 8/10/49 | | | 267,374 | |
| | 578,328 | | | Aaa(b) | | Series 2016-C3, Class A3, 2.896% due 11/15/49 | | | 554,364 | |
| | 500,000 | | | Aaa(b) | | Series 2016-P5, Class A4, 2.941% due 10/10/49 | | | 472,011 | |
| | 1,073,600 | | | Aaa(b) | | Series 2017-C4, Class A3, 3.209% due 10/12/50 | | | 1,029,244 | |
| | 172,516 | | | Aaa(b) | | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | | | 169,729 | |
| | 13,135,315 | | | AA+ | | Series 2019-C7, Class XA, 0.979% due 12/15/72(d)(l) | | | 464,324 | |
| | 1,651,640 | | | C(b) | | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 5.832%
(1-Month Term SOFR + 0.554%) due 9/25/36(d) | | | 498,376 | |
| | 804,776 | | | AAA(f) | | COLT Mortgage Loan Trust, Series 2021-2, Class A1, 0.924% due 8/25/66(a)(d) | | | 666,830 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 190,000 | | | BB-(f) | | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(d) | | | 168,355 | |
| | 210,000 | | | A-(f) | | Series 2014-CR21, Class C, 4.629% due 12/10/47(d) | | | 199,985 | |
| | 175,000 | | | Aaa(b) | | Series 2015-CR26, Class A4, 3.630% due 10/10/48 | | | 171,650 | |
| | 165,000 | | | Aaa(b) | | Series 2018-COR3, Class A3, 4.228% due 5/10/51 | | | 158,743 | |
| | | | | | Connecticut Avenue Securities Trust: | | | | |
| | 620,000 | | | NR | | Series 2020-R01, Class 1B1, 8.713% (30-Day Average SOFR + 3.364%) due 1/25/40(a)(d) | | | 643,286 | |
| | 1,110,000 | | | BBB | | Series 2022-R04, Class 1M2, 8.449% (30-Day Average SOFR + 3.100%) due 3/25/42(a)(d) | | | 1,157,709 | |
| | 274,308 | | | A- | | Series 2022-R07, Class 1M1, 8.298% (30-Day Average SOFR + 2.950%) due 6/25/42(a)(d) | | | 283,419 | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 260,000 | | | BBB- | | Series 2022-R08, Class 1M2, 8.949% (30-Day Average SOFR + 3.600%) due 7/25/42(a)(d) | | $ | 274,748 | |
| | 1,220,000 | | | BBB | | Series 2023-R05, Class 1M2, 8.448% (30-Day Average SOFR + 3.100%) due 6/25/43(a)(d) | | | 1,279,491 | |
| | 270,000 | | | BBB- | | Series 2023-R06, Class 1M2, 8.049% (30-Day Average SOFR + 2.700%) due 7/25/43(a)(d) | | | 281,697 | |
| | 410,000 | | | BBB | | Series 2024-R01, Class 1M2, 7.149% (30-Day Average SOFR + 1.800%) due 1/25/44(a)(d) | | | 413,915 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 498,551 | | | AAA(f) | | Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(d) | | | 454,717 | |
| | 129,930 | | | AAA(f) | | Series 2021-NQM7, Class A1, 1.756% due 10/25/66(a)(d) | | | 113,329 | |
| | 2,136,990 | | | NR | | Series 2022-RPL3, Class A1, 3.904% due 3/25/61(a)(d) | | | 2,288,611 | |
| | 751,591 | | | AAA(f) | | Series 2022-RPL4, Class A1, 3.904% due 4/25/62(a)(d) | | | 721,030 | |
| | 1,575,758 | | | NR | | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class A, 6.050% due 1/20/31(a) | | | 1,588,974 | |
| | | | | | CSAIL Commercial Mortgage Trust: | | | | |
| | 310,000 | | | Aaa(b) | | Series 2018-CX12, Class A4, 4.224% due 8/15/51(d) | | | 301,202 | |
| | 180,000 | | | Aaa(b) | | Series 2021-C20, Class A3, 2.805% due 3/15/54 | | | 159,329 | |
| | 280,000 | | | Aaa(b) | | CSMC NET, Series 2020-NET, Class B, 2.816% due 8/15/37(a) | | | 266,986 | |
| | 581,108 | | | AA+ | | CSMC Trust, Series 2019-AFC1, Class A2, step bond to yield, 3.776% due 7/25/49(a) | | | 562,028 | |
| | 19,603 | | | B- | | CWABS Asset-Backed Notes Trust, Series 2006-SD3, Class A1, 6.052%
(1-Month Term SOFR + 0.774%) due 7/25/36(a)(d) | | | 19,440 | |
| | | | | | CyrusOne Data Centers Issuer I LLC: | | | | |
| | 2,935,000 | | | A- | | Series 2023-2A, Class A2, 5.560% due 11/20/48(a) | | | 2,954,812 | |
| | 3,000,000 | | | A- | | Series 2024-1A, Class A2, 4.760% due 3/22/49(a) | | | 2,908,279 | |
| | | | | | DBJPM Mortgage Trust: | | | | |
| | 350,000 | | | A-(f) | | Series 2016-C1, Class B, 4.195% due 5/10/49(d) | | | 324,187 | |
| | 163,157 | | | Aaa(b) | | Series 2016-C3, Class A4, 2.632% due 8/10/49 | | | 156,955 | |
| | 2,025,000 | | | NR | | DBSG Mortgage Trust, Series 2024-ALTA, Class A, 6.144% due 6/10/37(a)(d) | | | 2,056,479 | |
| | 280,000 | | | Aaa(b) | | DLLMT LLC, Series 2024-1A, Class A4, 4.980% due 4/20/32(a) | | | 280,990 | |
| | 1,750,000 | | | AAA(f) | | DOLP Trust, Series 2021-NYC, Class A, 2.956% due 5/10/41(a) | | | 1,527,059 | |
| | 1,473,750 | | | BBB- | | Driven Brands Funding LLC, Series 2022-1A, Class A2, 7.393% due 10/20/52(a) | | | 1,494,018 | |
| | 219,167 | | | AAA | | Dryden 55 CLO Ltd., Series 2018-55A, Class A1, 6.583%
(3-Month Term SOFR + 1.282%) due 4/15/31(a)(d) | | | 219,370 | |
| | 17,704 | | | CCC | | DSLA Mortgage Loan Trust, Series 2004-AR2, Class A2B, 6.256%
(1-Month Term SOFR + 0.914%) due 11/19/44(d) | | | 16,475 | |
| | 640,000 | | | Aaa(b) | | DTP Commercial Mortgage Trust, Series 2023-STE2, Class A, 6.038% due 1/15/41(a)(d) | | | 655,690 | |
| | 370,000 | | | AAA | | Elevation CLO Ltd., Series 2021-13A, Class A1, 6.753%
(3-Month Term SOFR + 1.452%) due 7/15/34(a)(d) | | | 370,249 | |
| | 900,000 | | | AAA | | Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, 6.802%
(3-Month Term SOFR + 1.520%) due 4/20/37(a)(d) | | | 906,031 | |
| | 750,000 | | | AAA | | Empower CLO Ltd., Series 2023-2A, Class A1, 7.501%
(3-Month Term SOFR + 2.200%) due 7/15/36(a)(d) | | | 756,125 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 36,513 | | | NR | | Series 334, Class S7, 0.632% (5.986% - 30-Day Average SOFR) due 8/15/44(l)(m) | | | 4,688 | |
| | 56,476 | | | NR | | Series 353, Class S1, 0.532% (5.886% - 30-Day Average SOFR) due 12/15/46(l)(m) | | | 7,130 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 5,176 | | | NR | | Series 3451, Class SB, 0.562% (5.916% - 30-Day Average SOFR) due 5/15/38(l)(m) | | | 439 | |
| | 32,567 | | | NR | | Series 3621, Class SB, 0.762% (6.116% - 30-Day Average SOFR) due 1/15/40(l)(m) | | | 3,505 | |
| | 280,043 | | | NR | | Series 3947, Class SG, 0.482% (5.836% - 30-Day Average SOFR) due 10/15/41(l)(m) | | | 31,675 | |
| | 10,087 | | | NR | | Series 3973, Class SA, 1.022% (6.376% - 30-Day Average SOFR) due 12/15/41(l)(m) | | | 1,199 | |
| | 102,248 | | | NR | | Series 4203, Class PS, 0.782% (6.136% - 30-Day Average SOFR) due 9/15/42(l)(m) | | | 7,647 | |
| | 111,645 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 92,445 | |
| | 12,895 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(l) | | | 287 | |
| | 80,279 | | | NR | | Series 4335, Class SW, 0.532% (5.886% - 30-Day Average SOFR) due 5/15/44(l)(m) | | | 8,669 | |
| | 403,797 | | | NR | | Series 4391, Class MZ, 3.000% due 9/15/44 | | | 363,129 | |
| | 1,691,015 | | | NR | | Series 4980, Class KI, 4.500% due 6/25/50(l) | | | 384,200 | |
| | 62,551 | | | NR | | Series 5010, Class IK, 2.500% due 9/25/50(l) | | | 9,189 | |
| | 225,260 | | | NR | | Series 5010, Class JI, 2.500% due 9/25/50(l) | | | 36,185 | |
| | 76,566 | | | NR | | Series 5013, Class IN, 2.500% due 9/25/50(l) | | | 12,831 | |
| | 156,309 | | | NR | | Series 5018, Class MI, 2.000% due 10/25/50(l) | | | 21,193 | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 65,552 | | | NR | | Series 5040, Class IB, 2.500% due 11/25/50(l) | | $ | 9,563 | |
| | 966,448 | | | NR | | Series 5085, Class NI, 2.000% due 3/25/51(l) | | | 116,724 | |
| | 924,779 | | | NR | | Series 5093, Class IY, 4.500% due 12/25/50(l) | | | 201,420 | |
| | 469,926 | | | NR | | Series 5115, Class IO, 4.500% due 10/25/49(l) | | | 100,310 | |
| | 1,482,062 | | | NR | | Series 5118, Class NI, 2.000% due 2/25/51(l) | | | 190,419 | |
| | 336,096 | | | NR | | Series 5140, Class NI, 2.500% due 5/25/49(l) | | | 47,101 | |
| | 423,014 | | | NR | | Series 5148, Class BI, 2.500% due 1/25/49(l) | | | 63,479 | |
| | 175,318 | | | NR | | Series 5148, Class CI, 2.000% due 6/25/49(l) | | | 21,788 | |
| | 694,383 | | | NR | | Series 5159, Class IP, 3.000% due 11/25/51(l) | | | 98,245 | |
| | 776,812 | | | NR | | Series 5161, Class IO, 2.000% due 3/25/51(l) | | | 106,456 | |
| | 695,172 | | | NR | | Series 5202, Class IN, 3.000% due 1/25/47(l) | | | 88,734 | |
| | 500,000 | | | NR | | Series 5224, Class HL, 4.000% due 4/25/52 | | | 462,328 | |
| | 626,991 | | | NR | | Series 5274, Class IO, 2.500% due 1/25/51(l) | | | 106,084 | |
| | 1,535,785 | | | NR | | Series 5293, Class CI, 2.500% due 4/25/51(l) | | | 224,467 | |
| | 1,807,571 | | | NR | | Series 5293, Class IO, 2.000% due 3/25/51(l) | | | 230,877 | |
| | 31,573 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 33,189 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Structured Agency Credit Risk: | | | | |
| | 229,588 | | | A | | Series 2021-DNA1, Class M2, 7.149% (30-Day Average SOFR + 1.800%) due 1/25/51(a)(d) | | | 230,848 | |
| | 542,721 | | | BBB+ | | Series 2021-DNA5, Class M2, 6.999% (30-Day Average SOFR + 1.650%) due 1/25/34(a)(d) | | | 545,267 | |
| | 1,500,000 | | | BBB+ | | Series 2021-DNA6, Class M2, 6.849% (30-Day Average SOFR + 1.500%) due 10/25/41(a)(d) | | | 1,506,776 | |
| | 420,000 | | | BBB+ | | Series 2022-DNA2, Class M1B, 7.749% (30-Day Average SOFR + 2.400%) due 2/25/42(a)(d) | | | 430,515 | |
| | 380,000 | | | BB+ | | Series 2022-DNA2, Class M2, 9.099% (30-Day Average SOFR + 3.750%) due 2/25/42(a)(d) | | | 398,807 | |
| | 290,000 | | | B+ | | Series 2022-DNA3, Class B1, 10.999% (30-Day Average SOFR + 5.650%) due 4/25/42(a)(d) | | | 313,698 | |
| | 250,000 | | | BB | | Series 2022-DNA6, Class M2, 11.099% (30-Day Average SOFR + 5.750%) due 9/25/42(a)(d) | | | 279,156 | |
| | 189,028 | | | BBB+ | | Series 2023-DNA1, Class M1A, 7.448% (30-Day Average SOFR + 2.100%) due 3/25/43(a)(d) | | | 192,760 | |
| | 218,231 | | | BBB+ | | Series 2023-DNA2, Class M1A, 7.448% (30-Day Average SOFR + 2.100%) due 4/25/43(a)(d) | | | 222,719 | |
| | 810,000 | | | BBB- | | Series 2024-DNA1, Class M2, 7.299% (30-Day Average SOFR + 1.950%) due 2/25/44(a)(d) | | | 816,832 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 2,792,119 | | | NR | | Series 2015-M7, Class X2, 0.582% due 12/25/24(d)(l) | | | 317 | |
| | 11,124,313 | | | NR | | Series 2015-M8, Class X2, 0.157% due 1/25/25(d)(l) | | | 435 | |
| | 522,833 | | | NR | | Series 2020-M36, Class X1, 1.543% due 9/25/34(d)(l) | | | 29,933 | |
| | 245,000 | | | NR | | Series 2021-M2S, Class A2, 1.867% due 10/25/31(d) | | | 209,620 | |
| | 265,000 | | | NR | | Series 2022-M10, Class A2, 2.002% due 1/25/32(d) | | | 225,638 | |
| | 98,972 | | | NR | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2017-T1, Class A, 2.898% due 6/25/27 | | | 95,074 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 42,059 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(l) | | | 6,574 | |
| | 89,831 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(l) | | | 16,755 | |
| | 11,751 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(l) | | | 2,242 | |
| | 1,831,359 | | | NR | | Series 440, Class C6, 2.000% due 10/25/52(l) | | | 219,704 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 9,447 | | | NR | | Series 2004-38, Class FK, 5.813% (30-Day Average SOFR + 0.464%) due 5/25/34(d) | | | 9,377 | |
| | 24,555 | | | NR | | Series 2011-87, Class SG, 1.087% (6.436% - 30-Day Average SOFR) due 4/25/40(l)(m) | | | 611 | |
| | 53,605 | | | NR | | Series 2012-35, Class SC, 1.037% (6.386% - 30-Day Average SOFR) due 4/25/42(l)(m) | | | 7,610 | |
| | 40,969 | | | NR | | Series 2012-46, Class BA, 6.000% due 5/25/42 | | | 43,222 | |
| | 59,775 | | | NR | | Series 2012-51, Class B, 7.000% due 5/25/42 | | | 64,749 | |
| | 42,217 | | | NR | | Series 2012-74, Class SA, 1.187% (6.536% - 30-Day Average SOFR) due 3/25/42(l)(m) | | | 3,181 | |
| | 7,036 | | | NR | | Series 2012-75, Class AO, zero coupon due 3/25/42(k) | | | 6,314 | |
| | 2,226 | | | NR | | Series 2012-101, Class BI, 4.000% due 9/25/27(l) | | | 23 | |
See Notes to Financial Statements.
183
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 38,258 | | | NR | | Series 2012-133, Class CS, 0.687% (6.036% - 30-Day Average SOFR) due 12/25/42(l)(m) | | $ | 5,143 | |
| | 153,052 | | | NR | | Series 2013-9, Class BC, 6.500% due 7/25/42 | | | 163,618 | |
| | 121,749 | | | NR | | Series 2013-9, Class CB, 5.500% due 4/25/42 | | | 126,226 | |
| | 30,314 | | | NR | | Series 2013-54, Class BS, 0.687% (6.036% - 30-Day Average SOFR) due 6/25/43(l)(m) | | | 3,565 | |
| | 21,189 | | | NR | | Series 2013-73, Class IA, 3.000% due 9/25/32(l) | | | 897 | |
| | 651,265 | | | NR | | Series 2014-6, Class Z, 2.500% due 2/25/44 | | | 573,223 | |
| | 273,926 | | | NR | | Series 2015-65, Class CZ, 3.500% due 9/25/45 | | | 240,018 | |
| | 22,198 | | | NR | | Series 2018-57, Class QA, 3.500% due 5/25/46 | | | 21,962 | |
| | 575,380 | | | NR | | Series 2020-37, Class IM, 4.000% due 6/25/50(l) | | | 118,699 | |
| | 217,366 | | | NR | | Series 2020-47, Class GZ, 2.000% due 7/25/50 | | | 135,926 | |
| | 700,000 | | | NR | | Series 2020-56, Class AQ, 2.000% due 8/25/50 | | | 553,672 | |
| | 72,868 | | | NR | | Series 2020-56, Class DI, 2.500% due 8/25/50(l) | | | 11,976 | |
| | 4,155,563 | | | NR | | Series 2020-57, Class NI, 2.500% due 8/25/50(l) | | | 663,691 | |
| | 595,668 | | | NR | | Series 2020-73, Class KI, 3.000% due 10/25/50(l) | | | 108,355 | |
| | 1,409,943 | | | NR | | Series 2021-43, Class IO, 2.500% due 6/25/51(l) | | | 219,462 | |
| | 503,564 | | | NR | | Series 2021-61, Class KI, 2.500% due 4/25/49(l) | | | 75,092 | |
| | 695,587 | | | NR | | Series 2021-69, Class IJ, 2.500% due 1/25/49(l) | | | 100,881 | |
| | 710,891 | | | NR | | Series 2021-77, Class WI, 3.000% due 8/25/50(l) | | | 110,486 | |
| | 1,952,954 | | | NR | | Series 2022-22, Class IO, 2.500% due 10/25/51(l) | | | 336,324 | |
| | 724,446 | | | NR | | Series 2022-86, Class IO, 2.500% due 5/25/50(l) | | | 100,877 | |
| | 1,804,727 | | | NR | | Series 2023-2, Class CI, 2.000% due 10/25/50(l) | | | 223,526 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 2,700,000 | | | AA+(f) | | Series K104, Class XAM, 1.507% due 1/25/30(d)(l) | | | 174,508 | |
| | 440,000 | | | AAA(f) | | Series K144, Class A2, 2.450% due 4/25/32 | | | 388,968 | |
| | 946,623 | | | AAA(f) | | Series K736, Class X1, 1.404% due 7/25/26(d)(l) | | | 17,325 | |
| | 3,962,854 | | | AAA(f) | | Series K743, Class X1, 1.020% due 5/25/28(d)(l) | | | 115,811 | |
| | 4,310,000 | | | BBB- | | Five Guys Holdings Inc., Series 2023-1A, Class A2, 7.549% due 1/26/54(a) | | | 4,553,526 | |
| | 1,100,000 | | | Aaa(b) | | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, 6.651%
(3-Month Term SOFR + 1.372%) due 7/19/34(a)(d) | | | 1,100,894 | |
| | 435,000 | | | NR | | Flexential Issuer, Series 2021-1A, Class A2, 3.250% due 11/27/51(a) | | | 409,072 | |
| | | | | | Freddie Mac Multifamily Structured Pass Through Certificates: | | | | |
| | 3,376,023 | | | AAA(f) | | Series K104, Class X1, 1.243% due 1/25/30(d)(l) | | | 163,094 | |
| | 10,468,766 | | | Aaa(b) | | Series K130, Class X1, 1.143% due 6/25/31(d)(l) | | | 588,492 | |
| | 4,784,807 | | | AAA(f) | | Series K131, Class X1, 0.829% due 7/25/31(d)(l) | | | 196,214 | |
| | 1,240,000 | | | Aaa(b) | | Series K146, Class A2, 2.920% due 6/25/32 | | | 1,131,486 | |
| | 736,000 | | | Aaa(b) | | Series K148, Class A2, 3.500% due 7/25/32(d) | | | 698,245 | |
| | 24,169,249 | | | Aaa(b) | | Series K148, Class X1, 0.391% due 7/25/32(d)(l) | | | 466,005 | |
| | 320,000 | | | AAA(f) | | Series K-152, Class A2, 3.780% due 11/25/32(d) | | | 308,957 | |
| | 9,298,893 | | | AAA(f) | | Series K-157, Class X1, 0.419% due 5/25/33(d)(l) | | | 203,763 | |
| | 4,998,898 | | | AAA | | Series K-160, Class X1, 0.383% due 8/25/33(d)(l) | | | 97,402 | |
| | | | | | Freddie Mac Seasoned Credit Risk Transfer Trust: | | | | |
| | 760,268 | | | BB(f) | | Series 2019-1, Class M, 4.750% due 7/25/58(a)(d) | | | 735,039 | |
| | 210,000 | | | BBB(f) | | Series 2020-2, Class M, 4.250% due 11/25/59(a)(d) | | | 199,740 | |
| | 314,076 | | | NR | | FREMF Mortgage Trust, Series 2019-KF58, Class B, 7.616%
(30-Day Average SOFR + 2.264%) due 1/25/26(a)(d) | | | 308,517 | |
| | 1,165,000 | | | A(f) | | Frontier Issuer LLC, Series 2024-1, Class A2, 6.190% due 6/20/54(a) | | | 1,203,140 | |
| | 1,050,000 | | | AA | | GoldentTree Loan Management US CLO 1 Ltd., Series 2021-11A, Class B, 7.144%
(3-Month Term SOFR + 1.862%) due 10/20/34(a)(d) | | | 1,054,130 | |
| | 460,000 | | | AAA | | GoldentTree Loan Management US CLO 7 Ltd., Series 2020-7A, Class AR, 6.614%
(3-Month Term SOFR + 1.332%) due 4/20/34(a)(d) | | | 460,467 | |
| | 245,106 | | | A(f) | | GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class A, 2.700% due 1/20/49(a) | | | 209,077 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 209,785 | | | NR | | Series 2007-51, Class SG, 1.130% (6.466% - 1-Month Term SOFR) due 8/20/37(l)(m) | | | 6,654 | |
| | 70 | | | NR | | Series 2010-85, Class HS, 1.200% (6.536% - 1-Month Term SOFR) due 1/20/40(l)(m) | | | — | |
| | 53,809 | | | NR | | Series 2012-H27, Class AI, 1.741% due 10/20/62(d)(l) | | | 1,935 | |
| | 55,100 | | | NR | | Series 2013-53, Class OI, 3.500% due 4/20/43(l) | | | 5,785 | |
| | 305,600 | | | NR | | Series 2013-85, Class IA, 0.524% due 3/16/47(d)(l) | | | 2,899 | |
| | 64,450 | | | NR | | Series 2013-107, Class AD, 2.798% due 11/16/47(d) | | | 58,305 | |
See Notes to Financial Statements.
184
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 58,099 | | | NR | | Series 2014-105, Class IO, 0.129% due 6/16/54(d)(l) | | $ | 42 | |
| | 609,130 | | | NR | | Series 2014-H20, Class FA, 5.876% (1-Month Term SOFR + 0.544%) due 10/20/64(d) | | | 607,428 | |
| | 37,904 | | | NR | | Series 2015-167, Class OI, 4.000% due 4/16/45(l) | | | 6,829 | |
| | 39,957 | | | NR | | Series 2016-84, Class IG, 4.500% due 11/16/45(l) | | | 7,369 | |
| | 92,649 | | | NR | | Series 2016-135, Class SB, 0.647% (5.986% - 1-Month Term SOFR) due 10/16/46(l)(m) | | | 15,360 | |
| | 46,220 | | | NR | | Series 2017-H14, Class FK, 5.300% (1-Year CMT Index + 0.200%) due 5/20/67(d) | | | 46,263 | |
| | 333,934 | | | NR | | Series 2017-H22, Class IC, 0.895% due 11/20/67(d)(l) | | | 12,528 | |
| | 7,041,077 | | | NR | | Series 2018-45, Class IO, 0.542% due 3/16/59(d)(l) | | | 246,203 | |
| | 71,652 | | | NR | | Series 2018-124, Class NW, 3.500% due 9/20/48 | | | 66,497 | |
| | 24,189 | | | NR | | Series 2019-H13, Class FT, 5.550% (1-Year CMT Index + 0.450%) due 8/20/69(d) | | | 24,149 | |
| | 225,787 | | | NR | | Series 2020-47, Class MI, 3.500% due 4/20/50(l) | | | 41,047 | |
| | 65,480 | | | NR | | Series 2020-47, Class NI, 3.500% due 4/20/50(l) | | | 11,940 | |
| | 312,335 | | | NR | | Series 2020-123, Class IL, 2.500% due 8/20/50(l) | | | 42,635 | |
| | 210,403 | | | NR | | Series 2020-123, Class NI, 2.500% due 8/20/50(l) | | | 28,872 | |
| | 68,585 | | | NR | | Series 2020-127, Class IN, 2.500% due 8/20/50(l) | | | 9,527 | |
| | 71,660 | | | NR | | Series 2020-129, Class IE, 2.500% due 9/20/50(l) | | | 9,832 | |
| | 74,014 | | | NR | | Series 2020-160, Class IH, 2.500% due 10/20/50(l) | | | 10,510 | |
| | 71,227 | | | NR | | Series 2020-160, Class VI, 2.500% due 10/20/50(l) | | | 9,884 | |
| | 2,654,894 | | | NR | | Series 2020-173, Class MI, 2.500% due 11/20/50(l) | | | 374,005 | |
| | 3,612,145 | | | NR | | Series 2020-179, Class IO, 1.010% due 9/16/62(d)(l) | | | 276,639 | |
| | 340,146 | | | NR | | Series 2020-181, Class WI, 2.000% due 12/20/50(l) | | | 37,969 | |
| | 177,392 | | | NR | | Series 2020-H09, Class FL, 6.596% (1-Month Term SOFR + 1.264%) due 5/20/70(d) | | | 179,578 | |
| | 192,642 | | | NR | | Series 2020-H12, Class F, 5.946% (1-Month Term SOFR + 0.614%) due 7/20/70(d) | | | 190,186 | |
| | 306,971 | | | NR | | Series 2020-H13, Class FA, 5.896% (1-Month Term SOFR + 0.564%) due 7/20/70(d) | | | 301,965 | |
| | 44,605 | | | NR | | Series 2020-H13, Class FC, 5.896% (1-Month Term SOFR + 0.564%) due 7/20/70(d) | | | 43,874 | |
| | 222,705 | | | NR | | Series 2020-H20, Class FA, 5.796% (1-Month Term SOFR + 0.464%) due 4/20/70(d) | | | 218,564 | |
| | 165,707 | | | NR | | Series 2021-2, Class AH, 1.500% due 6/16/63 | | | 128,073 | |
| | 142,046 | | | NR | | Series 2021-14, Class AB, 1.340% due 6/16/63 | | | 109,621 | |
| | 2,627,848 | | | NR | | Series 2021-14, Class IO, 1.327% due 6/16/63(d)(l) | | | 195,465 | |
| | 1,230,371 | | | NR | | Series 2021-77, Class LC, 1.250% due 7/20/50 | | | 975,013 | |
| | 431,554 | | | NR | | Series 2021-115, Class MI, 2.500% due 5/20/51(l) | | | 47,843 | |
| | 2,617,641 | | | NR | | Series 2021-133, Class IO, 0.881% due 7/16/63(d)(l) | | | 178,075 | |
| | 857,455 | | | NR | | Series 2021-138, Class IK, 3.000% due 7/20/51(l) | | | 126,350 | |
| | 2,879,532 | | | NR | | Series 2021-169, Class IO, 1.112% due 6/16/61(d)(l) | | | 234,249 | |
| | 388,760 | | | NR | | Series 2021-188, Class PA, 2.000% due 10/20/51 | | | 317,601 | |
| | 447,411 | | | NR | | Series 2021-H02, Class TF, 6.726% (1-Month Term SOFR + 1.394%) due 1/20/71(d) | | | 457,750 | |
| | 300,000 | | | NR | | Series 2022-3, Class B, 1.850% due 2/16/61 | | | 164,498 | |
| | 1,332,584 | | | NR | | Series 2022-3, Class IO, 0.640% due 2/16/61(d)(l) | | | 58,850 | |
| | 315,658 | | | NR | | Series 2022-9, Class GA, 2.000% due 1/20/52 | | | 263,750 | |
| | 160,182 | | | NR | | Series 2022-24, Class AH, 2.500% due 2/20/52 | | | 139,867 | |
| | 734,313 | | | NR | | Series 2022-81, Class CI, 3.000% due 9/20/50(l) | | | 103,733 | |
| | 357,032 | | | NR | | Series 2022-189, Class PT, 2.500% due 10/20/51 | | | 306,639 | |
| | 200,000 | | | NR | | Series 2022-196, Class BE, 3.000% due 10/16/64(d) | | | 152,831 | |
| | 1,470,565 | | | NR | | Series 2022-210, Class IO, 0.699% due 7/16/64(d)(l) | | | 90,616 | |
| | 1,480,562 | | | NR | | Series 2022-216, Class IO, 0.749% due 7/16/65(d)(l) | | | 94,234 | |
| | 1,399,272 | | | NR | | Series 2023-92, Class AH, 2.000% due 6/16/64 | | | 1,118,607 | |
| | 1,998,960 | | | NR | | Series 2023-92, Class IA, 0.611% due 6/16/64(d)(l) | | | 125,433 | |
| | 1,446,567 | | | NR | | Series 2023-130, Class IO, 4.000% due 8/20/47(l) | | | 252,262 | |
| | 8,258,856 | | | NR | | Series 2023-179, Class IO, 0.611% due 9/16/63(d)(l) | | | 354,449 | |
| | 940,000 | | | Aaa(b) | | Greenwood Park CLO Ltd., Series 2018-1A, Class B, 6.963%
(3-Month Term SOFR + 1.662%) due 4/15/31(a)(d) | | | 940,437 | |
| | 770,000 | | | Ba3(b) | | GS Mortgage Securities Corp. II, Series 2024-70P, Class E, 9.263% due 3/10/41(a)(d) | | | 789,401 | |
| | | | | | GS Mortgage Securities Corp. Trust: | | | | |
| | 258,139 | | | BB- | | Series 2018-SRP5, Class A, 7.184% (1-Month Term SOFR + 1.847%) due 9/15/31(a)(d) | | | 191,853 | |
| | 4,380,000 | | | AAA | | Series 2021-DM, Class A, 6.336% (1-Month Term SOFR + 0.999%) due 11/15/36(a)(d) | | | 4,338,177 | |
| | 1,772,000 | | | AA-(f) | | Series 2021-IP, Class B, 6.601% (1-Month Term SOFR + 1.264%) due 10/15/36(a)(d) | | | 1,730,468 | |
| | 370,000 | | | A+ | | Series 2021-ROSS, Class A, 6.751% (1-Month Term SOFR + 1.414%) due 5/15/26(a)(d) | | | 345,676 | |
| | 209,569 | | | Aaa(b) | | GS Mortgage Securities Trust, Series 2017-GS6, Class A2, 3.164% due 5/10/50 | | | 199,990 | |
| | 42,363 | | | WR(b) | | Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6, 5.415% due 6/19/34(d) | | | 40,297 | |
| | 369,799 | | | Aa1(b) | | Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.600% due 11/1/35(a) | | | 315,734 | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 280,000 | | | Aaa(b) | | HPS Loan Management Ltd., Series 15A-19, Class A1R, 6.602%
(3-Month Term SOFR + 1.320%) due 1/22/35(a)(d) | | $ | 280,331 | |
| | 38,319 | | | AA | | Impac CMB Trust, Series 2007-A, Class A, 5.892%
(1-Month Term SOFR + 0.614%) due 5/25/37(a)(d) | | | 36,270 | |
| | 710,000 | | | AAA(f) | | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | | | 680,210 | |
| | 21,955 | | | Caa2(b) | | IndyMac INDX Mortgage Loan Trust, Series 2005-AR15, Class A2, 4.219% due 9/25/35(d) | | | 17,979 | |
| | 286,557 | | | NR | | InStar Leasing III LLC, Series 2021-1A, Class A, 2.300% due 2/15/54(a) | | | 261,966 | |
| | 864,253 | | | Ca(b) | | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 5.712%
(1-Month Term SOFR + 0.434%) due 8/25/36(d) | | | 240,308 | |
| | 350,000 | | | CCC(f) | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class E, 3.364% due 9/15/47(a)(d) | | | 290,201 | |
| | | | | | JPMDB Commercial Mortgage Securities Trust: | | | | |
| | 340,000 | | | BBB(f) | | Series 2017-C5, Class B, 4.009% due 3/15/50(d) | | | 284,385 | |
| | 190,000 | | | Aaa(b) | | Series 2017-C7, Class A5, 3.409% due 10/15/50 | | | 181,684 | |
| | 130,000 | | | AA- | | Series 2018-C8, Class B, 4.522% due 6/15/51 | | | 116,892 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 1,710,000 | | | C(b) | | Series 2018-PHH, Class F, 8.694% (1-Month Term SOFR + 3.357%)
due 6/15/35(a)(d)(g) | | | 28,818 | |
| | 250,000 | | | Baa1(b) | | Series 2021-MHC, Class D, 7.401% (1-Month Term SOFR + 2.064%) due 4/15/38(a)(d) | | | 247,445 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 134,100 | | | AAA | | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(d) | | | 120,461 | |
| | 124,135 | | | AAA | | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(d) | | | 112,033 | |
| | 672,916 | | | Aaa(b) | | Series 2019-6, Class B1, 4.265% due 12/25/49(a)(d) | | | 628,567 | |
| | 1,530,068 | | | Aaa(b) | | Series 2021-13, Class A3, 2.500% due 4/25/52(a)(d) | | | 1,271,628 | |
| | 436,357 | | | Aaa(b) | | KIND Trust, Series 2021-KIND, Class A, 6.404%
(1-Month Term SOFR + 1.064%) due 8/15/38(a)(d) | | | 428,000 | |
| | 280,000 | | | AAA | | Kings Park CLO Ltd., Series 2021-1A, Class A, 6.674%
(3-Month Term SOFR + 1.392%) due 1/21/35(a)(d) | | | 280,244 | |
| | 888,199 | | | Aaa(b) | | KREF Ltd., Series 2021-FL2, Class A, 6.523%
(1-Month Term SOFR + 1.184%) due 2/15/39(a)(d) | | | 879,102 | |
| | 1,200,000 | | | NR | | KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, Class B, 2.861% due 11/5/44(a) | | | 899,303 | |
| | 94,653 | | | AAA | | LAQ Mortgage Trust, Series 2023-LAQ, Class A, 7.428%
(1-Month Term SOFR + 2.091%) due 3/15/36(a)(d) | | | 95,008 | |
| | 1,000,000 | | | Aaa(b) | | LCM XIV LP, Series 14A, Class BR, 7.124%
(3-Month Term SOFR + 1.842%) due 7/20/31(a)(d) | | | 1,000,978 | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| | 629,947 | | | NR | | Series 2021-GS2, Class A1, step bond to yield, 4.750% due 4/25/61(a) | | | 632,244 | |
| | 475,887 | | | NR | | Series 2021-GS3, Class A1, step bond to yield, 4.750% due 7/25/61(a) | | | 479,851 | |
| | 232,900 | | | Baa2(b) | | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432% due 10/15/46(a) | | | 208,869 | |
| | 270,000 | | | AAA | | M&T Equipment 2024-LEAF1 Notes, Series 2024-1A, Class A4, 4.940% due 8/18/31(a) | | | 270,822 | |
| | 248,375 | | | A+ | | MAPS Trust, Series 2021-1A, Class A, 2.521% due 6/15/46(a) | | | 232,828 | |
| | 8,350 | | | WD(f) | | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 5.814% due 5/25/34(d) | | | 7,326 | |
| | 3,375,000 | | | A(f) | | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.230% due 4/20/54(a) | | | 3,494,122 | |
| | 209,719 | | | AAA(f) | | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 6.252%
(1-Month Term SOFR + 0.915%) due 4/15/38(a)(d) | | | 208,258 | |
| | 530,000 | | | Aaa(b) | | MMAF Equipment Finance LLC, Series 2024-A, Class A4, 5.100% due 7/13/49(a) | | | 541,337 | |
| | 169,406 | | | NR | | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.710% due 12/20/46(a) | | | 143,028 | |
| | | | | | MSWF Commercial Mortgage Trust: | | | | |
| | 730,000 | | | Aaa(b) | | Series 2023-2, Class A5, 6.014% due 12/15/56(d) | | | 796,716 | |
| | 3,797,828 | | | Aaa(b) | | Series 2023-2, Class XA, 1.141% due 12/15/56(d)(l) | | | 244,412 | |
| | 944,546 | | | AAA | | MVW Owner Trust, Series 2019-1A, Class A, 2.890% due 11/20/36(a) | | | 929,474 | |
| | 2,335,000 | | | NR | | NBC Funding LLC, Series 2024-1A, Class A2, 6.750% due 7/30/54(a) | | | 2,408,432 | |
| | 1,945,375 | | | NR | | Neighborly Issuer, Series 2023-1A, Class A2, 7.308% due 1/30/53(a) | | | 1,994,711 | |
| | 250,000 | | | Aaa(b) | | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ARR, 6.723%
(3-Month Term SOFR + 1.422%) due 7/15/34(a)(d) | | | 250,206 | |
| | 1,270,000 | | | BBB+ | | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.410% due 10/20/61(a) | | | 1,132,090 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 105,334 | | | AAA | | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(d) | | | 100,139 | |
| | 144,537 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(d) | | | 141,871 | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 367,769 | | | Aaa(b) | | Series 2019-2A, Class A1, 4.250% due 12/25/57(a)(d) | | $ | 358,946 | |
| | 381,474 | | | Aaa(b) | | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(d) | | | 362,574 | |
| | 635,437 | | | AAA(f) | | Series 2022-NQM4, Class A1, step bond to yield, 5.000% due 6/25/62(a) | | | 629,436 | |
| | 570,000 | | | AAA(f) | | NJ Trust, Series 2023-GSP, Class A, 6.697% due 1/6/29(a)(d) | | | 600,382 | |
| | 680,000 | | | AAA(f) | | NRTH Mortgage Trust, Series 2024-PARK, Class A, 6.978%
(1-Month Term SOFR + 1.641%) due 3/15/39(a)(d) | | | 677,082 | |
| | 330,000 | | | AAA(f) | | NYC Trust, Series 2024-3ELV, Class A, 7.328%
(1-Month Term SOFR + 1.991%) due 8/15/29(a)(d) | | | 331,238 | |
| | | | | | Oak Street Investment Grade Net Lease Fund: | | | | |
| | 340,491 | | | AAA | | Series 2020-1A, Class A1, 1.850% due 11/20/50(a) | | | 324,335 | |
| | 1,675,000 | | | BBB | | Series 2020-1A, Class B1, 5.110% due 11/20/50(a) | | | 1,569,868 | |
| | 250,000 | | | AAA | | Oaktree CLO Ltd., Series 2022-3A, Class A2, 7.601%
(3-Month Term SOFR + 2.300%) due 7/15/35(a)(d) | | | 250,013 | |
| | | | | | OBX Trust: | | | | |
| | 2,369,899 | | | AAA(f) | | Series 2021-NQM4, Class A1, 1.957% due 10/25/61(a)(d) | | | 2,010,797 | |
| | 197,532 | | | AAA(f) | | Series 2022-NQM6, Class A1, step bond to yield, 4.700% due 7/25/62(a) | | | 196,317 | |
| | 369,539 | | | AAA(f) | | Series 2022-NQM7, Class A1, step bond to yield, 5.110% due 8/25/62(a) | | | 367,016 | |
| | 723,524 | | | AAA(f) | | Series 2023-NQM3, Class A1, step bond to yield, 5.949% due 2/25/63(a) | | | 726,558 | |
| | 1,224,325 | | | AAA(f) | | Series 2023-NQM7, Class A1, step bond to yield, 6.844% due 4/25/63(a) | | | 1,249,514 | |
| | 1,137,334 | | | AAA(f) | | Series 2024-NQM1, Class A1, step bond to yield, 5.928% due 11/25/63(a) | | | 1,147,729 | |
| | 3,234,000 | | | AAA | | One New York Plaza Trust, Series 2020-1NYP, Class A, 6.401%
(1-Month Term SOFR + 1.064%) due 1/15/36(a)(d) | | | 3,085,161 | |
| | 870,000 | | | AAA(f) | | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A, 5.753% due 7/15/39(a)(d)(h) | | | 883,145 | |
| | 131,076 | | | BB+ | | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 6.172%
(1-Month Term SOFR + 0.894%) due 11/25/34(d) | | | 133,418 | |
| | 135,937 | | | AAA | | Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, 6.677%
(3-Month Term SOFR + 1.392%) due 1/17/31(a)(d) | | | 136,064 | |
| | 3,545,000 | | | BBB | | Planet Fitness Master Issuer LLC, Series 2024-1A, Class A2I, 5.765% due 6/5/54(a) | | | 3,610,048 | |
| | 118,274 | | | NR | | PMT Credit Risk Transfer Trust, Series 2019-3R, Class A, 9.161%
(30-Day Average SOFR + 3.814%) due 11/27/31(a)(d) | | | 118,750 | |
| | 1,243,329 | | | NR | | PRET LLC, Series 2022-RN2, Class A1, step bond to yield, 5.000% due 6/25/52(a) | | | 1,231,015 | |
| | 394,801 | | | WR(b) | | Prime Mortgage Trust, Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 346,693 | |
| | | | | | PRKCM Trust: | | | | |
| | 770,000 | | | BBB | | Series 2022-AFC2, Class M1, 6.201% due 8/25/57(a)(d) | | | 763,871 | |
| | 643,815 | | | AAA | | Series 2023-AFC1, Class A1, step bond to yield, 6.598% due 2/25/58(a) | | | 649,949 | |
| | | | | | PRPM LLC: | | | | |
| | 809,409 | | | AAA(f) | | Series 2022-NQM1, Class A1, step bond to yield, 5.500% due 8/25/67(a) | | | 820,203 | |
| | 315,265 | | | AAA(f) | | Series 2024-RCF1, Class A1, step bond to yield, 4.000% due 1/25/54(a) | | | 309,286 | |
| | 2,992,500 | | | NR | | Qdoba Funding LLC, Series 2023-1A, Class A2, 8.500% due 9/14/53(a) | | | 3,184,081 | |
| | 1,220,000 | | | Aaa(b) | | Rad CLO 22 Ltd., Series 2023-22A, Class A1, 7.112%
(3-Month Term SOFR + 1.830%) due 1/20/37(a)(d) | | | 1,233,331 | |
| | 585,424 | | | Aaa(b) | | RCKT Mortgage Trust, Series 2024-INV1, Class A1, 6.500% due 6/25/54(a)(d) | | | 596,698 | |
| | 620,937 | | | Aaa(b) | | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A, 6.592%
(1-Month Term SOFR + 1.314%) due 11/25/36(a)(d) | | | 617,849 | |
| | 1,100,000 | | | AA | | Regatta XII Funding Ltd., Series 2019-1A, Class BR, 7.163%
(3-Month Term SOFR + 1.862%) due 10/15/32(a)(d) | | | 1,102,541 | |
| | 850,000 | | | NR | | RIAL Issuer Ltd., Series 2022-FL8, Class D, 10.089%
(1-Month Term SOFR + 4.750%) due 1/19/37(a)(d) | | | 803,601 | |
| | | | | | Saluda Grade Alternative Mortgage Trust: | | | | |
| | 1,466,667 | | | NR | | Series 2023-FIG3, Class A, 7.067% due 8/25/53(a)(d) | | | 1,515,375 | |
| | 3,685,730 | | | NR | | Series 2023-FIG4, Class A, 6.718% due 11/25/53(a)(d) | | | 3,815,044 | |
| | 4,499,076 | | | NR | | Series 2024-CES1, Class A1, 6.306% due 3/25/54(a)(d) | | | 4,565,563 | |
| | 256,927 | | | NR | | SBA Small Business Investment Cos., Series 2018-10B, Class 1, 3.548% due 9/10/28 | | | 251,539 | |
| | 4,174,538 | | | BBB- | | SEB Funding LLC, Series 2021-1A, Class A2, 4.969% due 1/30/52(a) | | | 4,064,103 | |
| | 1,580,348 | | | NR | | Service Experts Issuer LLC, Series 2024-1A, Class A, 6.390% due 11/20/35(a) | | | 1,620,677 | |
| | 1,318,375 | | | BBB- | | SERVPRO Master Issuer LLC, Series 2024-1A, Class A2, 6.174% due 1/25/54(a) | | | 1,364,884 | |
| | 4,960,000 | | | AA- | | SHER Trust, Series 2024-DAL, Class B, 7.577% (1-Month Term SOFR + 2.240%) due 4/15/37(a)(d) | | | 4,905,907 | |
| | 310,000 | | | AAA | | Silver Rock CLO I Ltd., Series 2020-1A, Class AR, 7.062%
(3-Month Term SOFR + 1.780%) due 10/20/33(a)(d) | | | 310,358 | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.8% — (continued) | |
| $ | 330,000 | | | AAA(f) | | SLG Office Trust, Series 2021-OVA, Class A, 2.585% due 7/15/41(a) | | $ | 281,399 | |
| | 310,000 | | | NR | | Soho Trust, Series 2021-SOHO, Class B, 2.786% due 8/10/38(a)(d) | | | 203,943 | |
| | 1,062,118 | | | AAA | | SREIT Trust, Series 2021-MFP, Class A, 6.182%
(1-Month Term SOFR + 0.845%) due 11/15/38(a)(d) | | | 1,049,949 | |
| | 3,500,000 | | | A- | | Stack Infrastructure Issuer LLC, Series 2024-1A, Class A2, 5.900% due 3/25/49(a) | | | 3,594,672 | |
| | 684,656 | | | NR | | Stonepeak ABS, Series 2021-1A, Class AA, 2.301% due 2/28/33(a) | | | 647,887 | |
| | 250,000 | | | Aaa(b) | | Storm King Park CLO Ltd., Series 2022-1A, Class A1, 7.351%
(3-Month Term SOFR + 2.050%) due 10/15/35(a)(d) | | | 250,484 | |
| | 36,850 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 5.956%
(1-Month Term SOFR + 0.614%) due 7/19/35(d) | | | 35,081 | |
| | 840,181 | | | Aaa(b) | | STWD Ltd., Series 2022-FL3, Class A, 6.704%
(30-Day Average SOFR + 1.350%) due 11/15/38(a)(d) | | | 830,249 | |
| | 359,107 | | | NR | | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | | | 334,057 | |
| | 1,090,000 | | | AAA | | Symphony CLO 40 Ltd., Series 2023-40A, Class A1, 6.941%
(3-Month Term SOFR + 1.640%) due 1/14/34(a)(d) | | | 1,093,270 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 760,000 | | | A1(b) | | Series 2015-2, Class 1B3, 3.762% due 11/25/60(a)(d) | | | 679,603 | |
| | 770,000 | | | Aa2(b) | | Series 2016-5, Class B2, 3.819% due 10/25/56(a)(d) | | | 691,331 | |
| | 284,883 | | | AAA(f) | | Series 2020-2, Class A1A, 1.636% due 4/25/60(a)(d) | | | 258,202 | |
| | | | | | UBS Commercial Mortgage Trust: | | | | |
| | 340,000 | | | AA-(f) | | Series 2018-C11, Class B, 4.713% due 6/15/51(d) | | | 304,081 | |
| | 469,981 | | | Aaa(b) | | Series 2019-C17, Class A3, 2.669% due 10/15/52 | | | 424,230 | |
| | 830,833 | | | NR | | Velocity Commercial Capital Loan Trust, Series 2019-1, Class A, 3.760% due 3/25/49(a)(d) | | | 787,833 | |
| | | | | | Verus Securitization Trust: | | | | |
| | 684,381 | | | AAA | | Series 2021-5, Class A1, 1.013% due 9/25/66(a)(d) | | | 582,028 | |
| | 2,438,624 | | | AAA | | Series 2021-7, Class A1, step bond to yield, 1.829% due 10/25/66(a) | | | 2,175,252 | |
| | 750,233 | | | A | | Series 2022-7, Class A3, 5.350% due 7/25/67(a)(d) | | | 746,328 | |
| | 232,278 | | | A | | Series 2023-3, Class A3, step bond to yield, 6.743% due 3/25/68(a) | | | 234,532 | |
| | 1,057,680 | | | A | | Series 2024-3, Class A3, step bond to yield, 6.845% due 4/25/69(a) | | | 1,074,951 | |
| | 84,445 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 85,771 | |
| | 483,748 | | | A+ | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR19, Class A1B3, 6.092% (1-Month Term SOFR + 0.814%) due 12/25/45(d) | | | 484,850 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 1,000,000 | | | Aa2(b) | | Series 2015-C28, Class AS, 3.872% due 5/15/48(d) | | | 980,366 | |
| | 149,782 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 147,136 | |
| | 384,614 | | | Aaa(b) | | Series 2016-C33, Class A3, 3.162% due 3/15/59 | | | 376,421 | |
| | 9,545,901 | | | Aaa(b) | | Series 2018-C43, Class XA, 0.724% due 3/15/51(d)(l) | | | 166,759 | |
| | 250,000 | | | Aaa(b) | | Series 2018-C44, Class A4, 3.948% due 5/15/51 | | | 244,461 | |
| | 3,060,935 | | | Aaa(b) | | Series 2019-C52, Class XA, 1.705% due 8/15/52(d)(l) | | | 180,811 | |
| | 180,000 | | | AAA | | Series 2019-C54, Class A4, 3.146% due 12/15/52 | | | 166,231 | |
| | 370,000 | | | Aaa(b) | | Series 2024-C63, Class A5, 5.309% due 8/15/57 | | | 383,617 | |
| | 750,000 | | | AAA | | Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, 6.661%
(3-Month Term SOFR + 1.320%) due 7/24/36(a)(d) | | | 750,872 | |
| | 2,992,450 | | | NR | | Zaxbys Funding LLC, Series 2021-1A, Class A2, 3.238% due 7/30/51(a) | | | 2,734,238 | |
| | 4,300,000 | | | A-(f) | | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640% due 4/20/54(a) | | | 4,436,429 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $224,755,891) | | | 220,006,556 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 3.9% | |
|
| Argentina — 0.1% | |
| | | | | | Argentine Republic Government International Bonds: | | | | |
| | 64,372 | | | CCC | | 1.000% due 7/9/29 | | | 38,784 | |
| | 8,352 | | | CCC | | step bond to yield, 0.750% due 7/9/30 | | | 4,740 | |
| | 2,028,978 | | | CCC | | Provincia de Buenos Aires/Government Bonds, step bond to yield, 6.625% due 9/1/37(a) | | | 918,112 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 961,636 | |
| | | | | | | | | | |
|
| Australia — 0.1% | |
| | 3,830,000 | AUD | | Aaau(b) | | Australia Government Bonds, (Cost — $2,435,554, acquired 3/6/24), 2.750% due 11/21/28(c) | | | 2,510,487 | |
| | | | | | | | | | |
See Notes to Financial Statements.
188
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Benin — 0.1% | |
| $ | 1,000,000 | | | BB- | | Benin Government International Bonds, 7.960% due 2/13/38(a) | | $ | 958,960 | |
| | | | | | | | | | |
|
| Bermuda — 0.1% | |
| | 1,000,000 | | | A+ | | Bermuda Government International Bonds, 5.000% due 7/15/32(a) | | | 997,800 | |
| | | | | | | | | | |
|
| Brazil — 0.4% | |
| | | | | | Brazil Notas do Tesouro Nacional Serie F: | | | | |
| | 19,000,000 | BRL | | BB | | 10.000% due 1/1/27 | | | 3,305,203 | |
| | 22,000,000 | BRL | | BB | | 10.000% due 1/1/29 | | | 3,712,991 | |
| | 400,000 | | | BB | | Brazilian Government International Bonds, 6.125% due 3/15/34 | | | 405,081 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 7,423,275 | |
| | | | | | | | | | |
|
| Canada — 0.0%@ | |
| | 50,000 | | | AA- | | Province of British Columbia Canada, 4.200% due 7/6/33 | | | 49,681 | |
| | | | | | Province of Ontario Canada: | | | | |
| | 200,000 | | | A+ | | 2.500% due 4/27/26 | | | 194,630 | |
| | 200,000 | | | A+ | | 3.100% due 5/19/27 | | | 195,540 | |
| | 50,000 | | | A+ | | 5.050% due 4/24/34 | | | 52,943 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 492,794 | |
| | | | | | | | | | |
|
| Chile — 0.1% | |
| | | | | | Chile Government International Bonds: | | | | |
| | 200,000 | | | A | | 3.125% due 1/21/26 | | | 195,700 | |
| | 200,000 | | | A | | 2.750% due 1/31/27 | | | 191,819 | |
| | 200,000 | | | A | | 3.240% due 2/6/28 | | | 192,129 | |
| | 350,000 | | | A | | 2.450% due 1/31/31 | | | 309,771 | |
| | 45,000 | | | A | | 2.550% due 1/27/32 | | | 39,279 | |
| | 200,000 | | | A | | 3.500% due 1/25/50 | | | 151,292 | |
| | | | | | | | | | |
| | | | | | Total Chile | | | 1,079,990 | |
| | | | | | | | | | |
|
| Colombia — 0.1% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 200,000 | | | BB+ | | 8.000% due 4/20/33 | | | 213,050 | |
| | 750,000 | | | BB+ | | 8.000% due 11/14/35 | | | 797,824 | |
| | 930,000 | | | BB+ | | 4.125% due 2/22/42 | | | 637,525 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,648,399 | |
| | | | | | | | | | |
|
| Dominican Republic — 0.0%@ | |
| | | | | | Dominican Republic International Bonds: | | | | |
| | 200,000 | | | BB | | 4.500% due 1/30/30(a) | | | 189,630 | |
| | 185,000 | | | BB | | 7.050% due 2/3/31(a) | | | 198,734 | |
| | | | | | | | | | |
| | | | | | Total Dominican Republic | | | 388,364 | |
| | | | | | | | | | |
|
| France — 0.4% | |
| | 7,260,000 | EUR | | AA-u(f) | | French Republic Government Bonds OAT, (Cost — $7,766,765, acquired 7/9/24), 2.750% due 2/25/29(a)(c) | | | 8,061,361 | |
| | | | | | | | | | |
|
| Hungary — 0.0%@ | |
| | 200,000 | | | BBB- | | Hungary Government International Bonds, (Cost — $197,977, acquired 12/6/21), 2.125% due 9/22/31(c) | | | 165,370 | |
| | | | | | | | | | |
|
| Indonesia — 0.1% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 80,000 | | | BBB | | 4.100% due 4/24/28 | | | 79,410 | |
| | 445,000 | | | BBB | | 2.850% due 2/14/30 | | | 410,092 | |
| | 320,000 | | | BBB | | 2.150% due 7/28/31 | | | 274,108 | |
| | 200,000 | | | BBB | | 3.050% due 3/12/51 | | | 143,676 | |
| | 29,000,000,000 | IDR | | NR | | Indonesia Treasury Bonds, 6.875% due 4/15/29 | | | 1,903,980 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 2,811,266 | |
| | | | | | | | | | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Israel — 0.1% | |
| | | | | | Israel Government International Bonds: | | | | |
| $ | 400,000 | | | A+ | | 2.750% due 7/3/30 | | $ | 350,129 | |
| | 2,215,000 | | | A+ | | 5.750% due 3/12/54 | | | 2,111,928 | |
| | | | | | | | | | |
| | | | | | Total Israel | | | 2,462,057 | |
| | | | | | | | | | |
|
| Ivory Coast — 0.0%@ | |
| | 500,000 | | | BB- | | Ivory Coast Government International Bonds, 8.250% due 1/30/37(a) | | | 499,725 | |
| | | | | | | | | | |
|
| Japan — 0.0%@ | |
| | | | | | Japan Bank for International Cooperation: | | | | |
| | 200,000 | | | A+ | | 4.250% due 1/26/26 | | | 199,801 | |
| | 200,000 | | | A+ | | 2.375% due 4/20/26 | | | 194,092 | |
| | 200,000 | | | A+ | | 1.875% due 7/21/26 | | | 191,713 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 585,606 | |
| | | | | | | | | | |
|
| Kenya — 0.0%@ | |
| | 520,000 | | | B- | | Kenya Government International Bonds, 6.300% due 1/23/34(a) | | | 401,994 | |
| | 540,000 | | | B- | | Republic of Kenya Government International Bonds, 9.750% due 2/16/31(a) | | | 525,406 | |
| | | | | | | | | | |
| | | | | | Total Kenya | | | 927,400 | |
| | | | | | | | | | |
|
| Malaysia — 0.1% | |
| | 6,400,000 | MYR | | BBB+(f) | | Malaysia Government Bonds, 3.882% due 3/14/25 | | | 1,487,370 | |
| | | | | | | | | | |
|
| Mexico — 1.1% | |
| | | | | | Mexican Bonos: | | | | |
| | 22,540,000 | MXN | | BBB+ | | 8.500% due 5/31/29 | | | 1,092,541 | |
| | 47,930,000 | MXN | | BBB+ | | 7.750% due 11/23/34 | | | 2,128,828 | |
| | 203,975,700 | MXN | | BBB+ | | 7.750% due 11/13/42 | | | 8,362,102 | |
| | 84,090,000 | MXN | | BBB+ | | 8.000% due 11/7/47 | | | 3,485,649 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 200,000 | | | BBB | | 4.125% due 1/21/26 | | | 198,643 | |
| | 200,000 | | | BBB | | 4.150% due 3/28/27 | | | 197,400 | |
| | 323,000 | | | BBB | | 3.750% due 1/11/28 | | | 313,090 | |
| | 200,000 | | | BBB | | 5.400% due 2/9/28 | | | 203,610 | |
| | 572,000 | | | BBB | | 4.500% due 4/22/29 | | | 560,321 | |
| | 200,000 | | | BBB | | 3.250% due 4/16/30 | | | 181,788 | |
| | 964,000 | | | BBB | | 2.659% due 5/24/31 | | | 820,464 | |
| | 1,260,000 | | | BBB | | 3.500% due 2/12/34 | | | 1,063,022 | |
| | 1,700,000 | | | BBB | | 6.350% due 2/9/35 | | | 1,770,090 | |
| | 310,000 | | | BBB | | 4.750% due 3/8/44 | | | 258,906 | |
| | 425,000 | | | BBB | | 4.600% due 2/10/48 | | | 337,870 | |
| | 200,000 | | | BBB | | 6.338% due 5/4/53 | | | 196,610 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 21,170,934 | |
| | | | | | | | | | |
|
| Nigeria — 0.0%@ | |
| | 260,000 | | | B- | | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | | | 235,930 | |
| | | | | | | | | | |
|
| Oman — 0.1% | |
| | | | | | Oman Government International Bonds: | | | | |
| | 200,000 | | | Ba1(b) | | (Cost — $210,132, acquired 12/6/21), 5.625% due 1/17/28(c) | | | 204,379 | |
| | 700,000 | | | Ba1(b) | | (Cost — $718,375, acquired 3/12/24), 6.750% due 1/17/48(c) | | | 759,268 | |
| | | | | | | | | | |
| | | | | | Total Oman | | | 963,647 | |
| | | | | | | | | | |
|
| Panama — 0.2% | |
| | | | | | Panama Government International Bonds: | | | | |
| | 210,000 | | | BBB | | 3.875% due 3/17/28 | | | 198,906 | |
| | 500,000 | | | BBB | | 3.160% due 1/23/30 | | | 436,154 | |
| | 200,000 | | | BBB | | 2.252% due 9/29/32 | | | 150,647 | |
| | 650,000 | | | BBB | | 3.298% due 1/19/33 | | | 529,427 | |
| | 750,000 | | | BBB | | 6.400% due 2/14/35 | | | 750,523 | |
| | 10,000 | | | BBB | | 4.500% due 4/1/56 | | | 7,010 | |
| | 2,500,000 | | | BBB | | 4.500% due 1/19/63 | | | 1,710,652 | |
| | | | | | | | | | |
| | | | | | Total Panama | | | 3,783,319 | |
| | | | | | | | | | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Peru — 0.1% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| $ | 650,000 | | | BBB- | | 2.783% due 1/23/31 | | $ | 575,419 | |
| | 100,000 | | | BBB- | | 3.000% due 1/15/34 | | | 84,864 | |
| | 70,000 | | | BBB- | | 6.550% due 3/14/37 | | | 77,916 | |
| | 290,000 | | | BBB- | | 5.625% due 11/18/50 | | | 295,439 | |
| | 50,000 | | | BBB- | | 3.550% due 3/10/51 | | | 37,425 | |
| | 190,000 | | | BBB- | | 2.780% due 12/1/60 | | | 112,902 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,183,965 | |
| | | | | | | | | | |
|
| Philippines — 0.1% | |
| | | | | | Philippine Government International Bonds: | | | | |
| | 400,000 | | | BBB+ | | 3.000% due 2/1/28 | | | 382,696 | |
| | 560,000 | | | BBB+ | | 1.648% due 6/10/31 | | | 465,904 | |
| | 550,000 | | | BBB+ | | 1.950% due 1/6/32 | | | 459,241 | |
| | | | | | | | | | |
| | | | | | Total Philippines | | | 1,307,841 | |
| | | | | | | | | | |
|
| Poland — 0.0%@ | |
| | | | | | Republic of Poland Government International Bonds: | | | | |
| | 50,000 | | | A- | | 3.250% due 4/6/26 | | | 49,246 | |
| | 50,000 | | | A- | | 5.500% due 11/16/27 | | | 52,068 | |
| | 100,000 | | | A- | | 4.875% due 10/4/33 | | | 101,465 | |
| | 50,000 | | | A- | | 5.500% due 4/4/53 | | | 51,303 | |
| | 100,000 | | | A- | | 5.500% due 3/18/54 | | | 102,266 | |
| | | | | | | | | | |
| | | | | | Total Poland | | | 356,348 | |
| | | | | | | | | | |
|
| Romania — 0.1% | |
| | 1,000,000 | | | BBB- | | Romanian Government International Bonds, 6.375% due 1/30/34(a) | | | 1,032,296 | |
| | | | | | | | | | |
|
| South Africa — 0.2% | |
| | 70,000,000 | ZAR | | BB | | South Africa Government Bonds, 8.000% due 1/31/30 | | | 3,733,561 | |
| | | | | | | | | | |
|
| South Korea — 0.0%@ | |
| | 200,000 | | | AA | | Export-Import Bank of Korea, 1.125% due 12/29/26 | | | 186,243 | |
| | | | | | | | | | |
|
| Supranational — 0.1% | |
| | | | | | International Bank for Reconstruction & Development: | | | | |
| | 200,000 | | | AAA | | 3.125% due 11/20/25 | | | 197,278 | |
| | 100,000 | | | AAA | | 3.125% due 6/15/27 | | | 98,107 | |
| | 100,000 | | | Aaa(b) | | 2.500% due 11/22/27 | | | 96,024 | |
| | 200,000 | | | AAA | | 1.375% due 4/20/28 | | | 183,611 | |
| | 150,000 | | | AAA | | 3.500% due 7/12/28 | | | 148,442 | |
| | 100,000 | | | AAA | | 3.625% due 9/21/29 | | | 99,116 | |
| | 100,000 | | | AAA | | 4.000% due 7/25/30 | | | 100,798 | |
| | 100,000 | | | AAA | | 4.500% due 4/10/31 | | | 103,502 | |
| | | | | | | | | | |
| | | | | | Total Supranational | | | 1,026,878 | |
| | | | | | | | | | |
|
| United Kingdom — 0.2% | |
| | 3,745,000 | GBP | | AA-u(f) | | United Kingdom Gilt, (Cost — $4,547,250, acquired 3/6/24), 3.250% due 1/31/33(c) | | | 4,682,334 | |
| | | | | | | | | | |
|
| Uruguay — 0.0%@ | |
| | | | | | Uruguay Government International Bonds: | | | | |
| | 100,000 | | | BBB+ | | 5.750% due 10/28/34 | | | 108,511 | |
| | 100,000 | | | BBB+ | | 5.100% due 6/18/50 | | | 99,498 | |
| | 50,000 | | | BBB+ | | 4.975% due 4/20/55 | | | 48,263 | |
| | | | | | | | | | |
| | | | | | Total Uruguay | | | 256,272 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $76,843,270) | | | 73,381,428 | |
| | | | | | | | | | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| ASSET-BACKED SECURITIES — 0.8% | |
|
| Automobiles — 0.5% | |
| | | | | | Avis Budget Rental Car Funding AESOP LLC: | | | | |
| $ | 780,000 | | | Aaa(b) | | Series 2023-5A, Class A, 5.780% due 4/20/28(a) | | $ | 797,405 | |
| | 320,000 | | | Aaa(b) | | Series 2024-1A, Class A, 5.360% due 6/20/30(a) | | | 326,680 | |
| | 320,000 | | | Baa3(b) | | Series 2024-1A, Class C, 6.480% due 6/20/30(a) | | | 331,072 | |
| | 4,000,000 | | | Aaa(b) | | Series 2024-3A, Class A, 5.230% due 12/20/30(a) | | | 4,049,270 | |
| | 583,000 | | | AAA | | Ford Credit Floorplan Master Owner Trust A, Series 2018-4, Class A, 4.060% due 11/15/30 | | | 574,582 | |
| | | | | | Hertz Vehicle Financing III LLC: | | | | |
| | 390,000 | | | Aaa(b) | | Series 2023-3A, Class A, 5.940% due 2/25/28(a) | | | 398,114 | |
| | 270,000 | | | Aaa(b) | | Series 2023-4A, Class A, 6.150% due 3/25/30(a) | | | 281,805 | |
| | 354,000 | | | AAA | | Hyundai Auto Receivables Trust, Series 2023-C, Class A3, 5.540% due 10/16/28 | | | 361,223 | |
| | 933,000 | | | AA | | Octane Receivables Trust, Series 2024-1A, Class B, 5.660% due 5/20/30(a) | | | 949,215 | |
| | 1,308,000 | | | Aaa(b) | | Santander Drive Auto Receivables Trust, Series 2023-5, Class A3, 6.020% due 9/15/28 | | | 1,322,387 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 9,391,753 | |
| | | | | | | | | | |
|
| Credit Cards — 0.0%@ | |
| | | | | | American Express Credit Account Master Trust: | | | | |
| | 118,000 | | | Aaa(b) | | Series 2022-3, Class A, 3.750% due 8/15/27 | | | 116,942 | |
| | 275,000 | | | AAA | | Series 2023-2, Class A, 4.800% due 5/15/30 | | | 280,594 | |
| | 462,000 | | | AAA | | Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A, 4.950% due 10/15/27 | | | 463,291 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 860,827 | |
| | | | | | | | | | |
|
| Student Loans — 0.3% | |
| | 1,184,234 | | | A2(b) | | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class C, 7.149%
(30-Day Average SOFR + 1.800%) due 6/25/47(a)(d) | | | 1,190,840 | |
| | 91,666 | | | AAA | | College Ave Student Loans LLC, Series 2019-A, Class A2, 3.280% due 12/28/48(a) | | | 87,050 | |
| | 844,766 | | | Aaa(b) | | ECMC Group Student Loan Trust, Series 2017-2A, Class A, 6.513%
(30-Day Average SOFR + 1.164%) due 5/25/67(a)(d) | | | 843,657 | |
| | 234,872 | | | Aaa(b) | | Edsouth Indenture No 9 LLC, Series 2015-1, Class A, 6.263%
(30-Day Average SOFR + 0.914%) due 10/25/56(a)(d) | | | 234,750 | |
| | 956,419 | | | AA+ | | Navient Student Loan Trust, Series 2017-3A, Class A3, 6.513%
(30-Day Average SOFR + 1.164%) due 7/26/66(a)(d) | | | 959,527 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 596,731 | | | AA+ | | Series 2006-1, Class A6, 5.813% (3-Month Term SOFR + 0.712%) due 8/23/36(a)(d) | | | 594,960 | |
| | 107,977 | | | Aaa(b) | | Series 2021-A, Class APT1, 1.360% due 4/20/62(a) | | | 100,101 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 438,443 | | | Aaa(b) | | Series 2021-A, Class A2B, 1.590% due 1/15/53(a) | | | 400,183 | |
| | 208,632 | | | Aa1(b) | | Series 2021-A, Class B, 2.310% due 1/15/53(a) | | | 198,213 | |
| | 552,975 | | | Aaa(b) | | Series 2024-C, Class A1B, 6.454% (30-Day Average SOFR + 1.100%) due 6/17/52(a)(d) | | | 554,441 | |
| | 400,000 | | | Aaa(b) | | Series 2024-E, Class A1A, 5.090% due 10/16/56(a) | | | 402,164 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 5,565,886 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $15,735,240) | | | 15,818,466 | |
| | | | | | | | | | |
|
| SENIOR LOANS — 0.7% | |
| | 157,980 | | | NR | | Acrisure LLC, (Cost — $158,770, acquired 6/20/24), 8.594%
(3-Month CME Term SOFR + 3.250%) due 11/6/30(c)(d) | | | 157,246 | |
| | 196,792 | | | NR | | Ali Group North America Corp., (Cost — $195,631, acquired 10/13/21), 7.361%
(1-Month CME Term SOFR + 2.000%) due 7/30/29(c)(d) | | | 197,820 | |
| | 246,811 | | | NR | | AlixPartners, LLP, (Cost — $245,622, acquired 6/12/23), 7.861%
(1-Month CME Term SOFR + 2.500%) due 2/4/28(c)(d) | | | 248,132 | |
| | 803,791 | | | NR | | Allied Universal Holdco LLC, (Cost — $798,697, acquired 9/14/23), 9.097%
(1-Month CME Term SOFR + 3.750%) due 5/12/28(c)(d) | | | 799,973 | |
| | 34,624 | | | NR | | Alterra Mountain Co., (Cost — $34,812, acquired 4/1/24), 8.497%
(1-Month CME Term SOFR + 3.250%) due 8/17/28(c)(d) | | | 34,780 | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 0.7% — (continued) | |
| $ | 294,083 | | | NR | | AmWINS Group Inc., (Cost — $293,010, acquired 6/12/23), 7.611%
(1-Month CME Term SOFR + 2.250%) due 2/19/28(c)(d) | | $ | 294,946 | |
| | 480,017 | | | NR | | Ascensus Group Holdings Inc., (Cost — $472,663, acquired 6/12/23), 8.861%
(1-Month CME Term SOFR + 3.500%) due 8/2/28(c)(d) | | | 482,017 | |
| | | | | | Asurion LLC: | | | | |
| | 1,323,144 | | | NR | | 8.611% (1-Month CME Term SOFR + 3.250%) due 12/23/26(d) | | | 1,318,864 | |
| | 294,828 | | | NR | | (Cost — $294,997, acquired 3/7/24), 8.611% (1-Month CME Term SOFR + 3.250%) due 12/23/26(c)(d) | | | 293,874 | |
| | 116,100 | | | NR | | (Cost — $115,578, acquired 1/29/21), 8.611% (1-Month CME Term SOFR + 3.250%) due 7/31/27(c)(d) | | | 115,045 | |
| | 335,158 | | | NR | | athenahealth Group Inc., (Cost — $334,100, acquired 1/27/22), 8.497%
(1-Month CME Term SOFR + 3.250%) due 2/15/29(c)(d) | | | 333,603 | |
| | 546,715 | | | NR | | Avolon TLB Borrower 1 LLC, (Cost — $547,910, acquired 1/18/24), 7.311%
(1-Month CME Term SOFR + 2.000%) due 6/22/28(c)(d) | | | 549,421 | |
| | 372,000 | | | NR | | Boost Newco Borrower LLC, (Cost — $373,367, acquired 8/1/24), 7.748%
(3-Month CME Term SOFR + 2.500%) due 1/31/31(c)(d) | | | 373,494 | |
| | 213,525 | | | NR | | Brown Group Holding LLC, (Cost — $213,374, acquired 11/9/21), 7.997%
(1-Month CME Term SOFR + 2.750%) due 7/1/31(c)(d) | | | 213,758 | |
| | | | | | Caesars Entertainment Inc.: | | | | |
| | 37,900 | | | NR | | (Cost — $37,900, acquired 2/1/23), 7.997% (1-Month CME Term SOFR + 2.750%) due 2/6/30(c)(d) | | | 37,998 | |
| | 562,060 | | | NR | | (Cost — $560,772, acquired 1/24/24), 7.997% (1-Month CME Term SOFR + 2.750%) due 2/6/31(c)(d) | | | 563,308 | |
| | 188,126 | | | NR | | Citadel Securities LP, (Cost — $188,102, acquired 1/30/24), 7.497%
(1-Month CME Term SOFR + 2.250%) due 7/29/30(c)(d) | | | 188,761 | |
| | 129,675 | | | NR | | Clarios Global LP, (Cost — $130,620, acquired 7/16/24), 7.747%
(1-Month CME Term SOFR + 2.500%) due 5/6/30(c)(d) | | | 130,229 | |
| | 82,432 | | | NR | | Cloudera Inc., (Cost — $81,966, acquired 8/10/21), 9.097%
(1-Month CME Term SOFR + 3.750%) due 10/8/28(c)(d) | | | 80,835 | |
| | 238,454 | | | NR | | Coherent Corp., (Cost — $239,169, acquired 4/2/24), 7.747%
(1-Month CME Term SOFR + 2.500%) due 7/2/29(c)(d) | | | 239,646 | |
| | 1,012,064 | | | NR | | Cotiviti Inc., (Cost — $1,007,363, acquired 2/22/24), 8.592%
(1-Month CME Term SOFR + 3.250%) due 5/1/31(c)(d) | | | 1,013,961 | |
| | 374,059 | | | NR | | CP Atlas Buyer Inc. due 11/23/27(n) | | | 361,435 | |
| | 521,097 | | | NR | | DCert Buyer Inc., (Cost — $519,429, acquired 6/12/23), 9.247%
(1-Month CME Term SOFR + 4.000%) due 10/16/26(c)(d) | | | 512,019 | |
| | 246,787 | | | NR | | Deerfield Dakota Holding LLC, (Cost — $239,392, acquired 6/12/23), 9.085%
(3-Month CME Term SOFR + 3.750%) due 4/9/27(c)(d) | | | 245,363 | |
| | 55,354 | | | NR | | First Eagle Holdings Inc., (Cost — $55,268, acquired 3/4/24), 8.335%
(3-Month CME Term SOFR + 3.000%) due 3/5/29(c)(d) | | | 54,925 | |
| | 716,400 | | | NR | | Flutter Entertainment Public Limited Co., (Cost — $714,804, acquired 11/17/23), 7.585% (3-Month CME Term SOFR + 2.250%) due 11/30/29(c)(d) | | | 718,191 | |
| | 209,792 | | | NR | | Focus Financial Partners LLC, (Cost — $210,296, acquired 1/18/24), 7.997%
(1-Month CME Term SOFR + 2.750%) due 6/30/28(c)(d) | | | 209,966 | |
| | 106,416 | | | NR | | Gainwell Acquisition Corp., (Cost — $105,701, acquired 2/12/21), 9.435%
(3-Month CME Term SOFR + 4.000%) due 10/1/27(c)(d) | | | 97,105 | |
| | 75,194 | | | NR | | Garda World Security Corp., (Cost — $75,388, acquired 2/2/24), 9.594%
(3-Month CME Term SOFR + 4.250%) due 2/1/29(c)(d) | | | 75,391 | |
| | 200,000 | | | NR | | Genesee & Wyoming Inc., (Cost — $199,054, acquired 4/5/24), 7.335%
(3-Month CME Term SOFR + 2.000%) due 4/10/31(c)(d) | | | 200,198 | |
| | 340,558 | | | NR | | Jazz Pharmaceuticals Inc., (Cost — $341,561, acquired 7/19/24), 7.497%
(1-Month CME Term SOFR + 2.250%) due 5/5/28(c)(d) | | | 341,232 | |
| | 303,714 | | | NR | | Light and Wonder International Inc., (Cost — $305,802, acquired 7/17/24), 7.592%
(1-Month CME Term SOFR + 2.250%) due 4/15/29(c)(d) | | | 304,454 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 0.7% — (continued) | |
| $ | 450,000 | | | NR | | Medline Borrower LP, (Cost — $451,688, acquired 7/2/24) due 10/23/28(c)(n) | | $ | 450,956 | |
| | 820,000 | | | NR | | Modivcare Inc., 10.082%
(3-Month CME Term SOFR + 4.750%) due 7/1/31(d) | | | 802,062 | |
| | 239,423 | | | NR | | Nexstar Media Inc., (Cost — $238,908, acquired 8/16/19), 7.861%
(1-Month CME Term SOFR + 2.500%) due 9/18/26(c)(d) | | | 240,038 | |
| | 59,532 | | | NR | | PCI Gaming Authority, (Cost — $59,519, acquired 5/15/19), 7.342%
(1-Month CME Term SOFR + 2.000%) due 7/18/31(c)(d) | | | 59,272 | |
| | 21,211 | | | NR | | Peraton Corp., (Cost — $20,928, acquired 12/14/22), 9.097%
(1-Month CME Term SOFR + 3.750%) due 2/1/28(c)(d) | | | 20,805 | |
| | 374,058 | | | NR | | Rocket Software Inc., 9.997%
(1-Month CME Term SOFR + 4.750%) due 11/28/28(d) | | | 374,565 | |
| | 246,875 | | | NR | | Sedgwick Claims Management Services Inc., (Cost — $244,949, acquired 6/12/23), 9.002% (3-Month CME Term SOFR + 3.750%) due 7/31/31(c)(d) | | | 247,492 | |
| | 200,000 | | | NR | | Setanta Aircraft Leasing DAC, (Cost — $200,764, acquired 5/14/24), 7.085%
(3-Month CME Term SOFR + 1.750%) due 11/5/28(c)(d) | | | 201,554 | |
| | 470,000 | | | NR | | Sotera Health Holdings LLC, (Cost — $467,732, acquired 5/23/24), 8.497%
(1-Month CME Term SOFR + 3.250%) due 5/30/31(c)(d) | | | 470,294 | |
| | 186,786 | | | NR | | UFC Holdings LLC, (Cost — $188,187, acquired 4/30/19), 8.291%
(3-Month CME Term SOFR + 2.750%) due 4/29/26(c)(d) | | | 187,579 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $13,835,543) | | | 13,842,607 | |
| | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.2% | |
|
| California — 0.1% | |
| | 310,000 | | | AA- | | California Health Facilities Financing Authority, Revenue Bonds, 3.000% due 8/15/51 | | | 248,053 | |
| | 100,000 | | | AA- | | California State University, Revenue Bonds, Series B, 5.183% due 11/1/53 | | | 101,052 | |
| | 205,000 | | | AA- | | Los Angeles Department of Water & Power, Revenue Bonds, 6.574% due 7/1/45 | | | 238,654 | |
| | | | | | State of California, GO: | | | | |
| | 100,000 | | | AA- | | 4.600% due 4/1/38 | | | 98,866 | |
| | 200,000 | | | AA- | | 5.750% due 10/1/31 | | | 219,080 | |
| | 150,000 | | | AA- | | 5.875% due 10/1/41 | | | 161,535 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 23,101 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 240,747 | |
| | 90,000 | | | AA | | Series BF, 2.650% due 5/15/50 | | | 60,932 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,392,020 | |
| | | | | | | | | | |
|
| Connecticut — 0.0%@ | |
| | 300,000 | | | AA- | | State of Connecticut, GO, 5.850% due 3/15/32 | | | 324,597 | |
| | | | | | | | | | |
|
| Florida — 0.0%@ | |
| | 50,000 | | | AA | | State Board of Administration Finance Corp., Revenue Bonds, Series A, 5.526% due 7/1/34 | | | 51,902 | |
| | | | | | | | | | |
|
| Illinois — 0.0%@ | |
| | 150,000 | | | A+ | | Chicago O’Hare International Airport, Revenue Bonds, 4.472% due 1/1/49 | | | 140,056 | |
| | 235,294 | | | A- | | State of Illinois, GO, 5.100% due 6/1/33 | | | 236,858 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 376,914 | |
| | | | | | | | | | |
|
| Minnesota — 0.0%@ | |
| | 260,000 | | | AA | | University of Minnesota, Revenue Bonds, 4.048% due 4/1/52 | | | 230,474 | |
| | | | | | | | | | |
|
| New Jersey — 0.1% | |
| | 310,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 315,754 | |
| | 85,000 | | | A- | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 | | | 95,754 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 411,508 | |
| | | | | | | | | | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| New York — 0.0%@ | |
| $ | 100,000 | | | AA | | City of New York, GO, 5.263% due 10/1/52 | | $ | 105,157 | |
| | 150,000 | | | AA- | | Port Authority of New York & New Jersey, Revenue Bonds, 5.072% due 7/15/53 | | | 153,044 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 258,201 | |
| | | | | | | | | | |
|
| Texas — 0.0%@ | |
| | 40,000 | | | AA- | | Dallas Fort Worth International Airport, Revenue Bonds, Series A, 3.144% due 11/1/45 | | | 31,250 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $3,203,756) | | | 3,076,866 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| COMMON STOCK — 0.0%@ | |
|
| Telecommunications — 0.0%@ | |
| | 11,289 | | | | | Intelsat SA*(g) | | | | |
| | | | | | (Cost — $848,528) | | | 422,395 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,865,367,237) | | | 1,834,950,798 | |
| | | | | | | | | | |
| | | |
Face Amount† | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 5.9% | |
|
| TIME DEPOSITS — 5.9% | |
| | 181 | AUD | | | | ANZ National Bank — Hong Kong, 2.920% due 9/2/24 | | | 122 | |
| $ | 9,660,966 | | | | | ANZ National Bank — London, 4.680% due 9/3/24 | | | 9,660,966 | |
| | 483 | ZAR | | | | BBH — New York, 6.220% due 9/2/24 | | | 27 | |
| | 609,568 | AUD | | | | BNP Paribas — Paris, 2.920% due 9/2/24 | | | 412,525 | |
| | 68,539,453 | | | | | Canadian Imperial Bank of Commerce — Toronto, 4.680% due 9/3/24 | | | 68,539,453 | |
| | 789,174 | EUR | | | | Citibank — London, 2.570% due 9/2/24 | | | 872,392 | |
| | 13,378,284 | | | | | Citibank — New York, 4.680% due 9/3/24 | | | 13,378,284 | |
| | 15,623,758 | | | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | | 15,623,758 | |
| | | | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 226,698 | GBP | | | | 3.910% due 9/2/24 | | | 297,734 | |
| | 27 | | | | | 4.680% due 9/3/24 | | | 27 | |
| | | | | | Sumitomo Mitsui Banking Corp. — Tokyo: | | | | |
| | 19,066,619 | JPY | | | | 0.010% due 9/2/24 | | | 130,446 | |
| | 515,578 | | | | | 4.680% due 9/3/24 | | | 515,578 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $109,431,312) | | | 109,431,312 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $1,974,798,549) | | | 1,944,382,110 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS — 0.0%
(Cost — $25,739) | | | 8,063 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 104.3%
(Cost — $1,974,824,288) | | | 1,944,390,173 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (4.3)% | | | (79,168,634 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 1,865,221,539 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
See Notes to Financial Statements.
195
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $339,281,603 and represents 18.2% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2024, amounts to $53,490,115 and represents 2.9% of net assets. |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (h) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (i) | Security is currently in default. |
| (j) | This security is traded on a TBA basis (see Note 1). |
| (k) | Principal only security. |
| (l) | Interest only security. |
| (m) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2024. |
| (n) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (o) | All or a portion of this security is held at the broker as collateral for open over-the-counter (“OTC”) swap contract. |
| (p) | All or a portion of this security is held at the broker as collateral for open forward foreign currency contracts. |
| # | Security that used significant unobservable inputs to determine fair value. At August 31, 2024, the Fund held Level 3 securities with a value of $0, representing 0.0% of net assets. |
At August 31, 2024, for Core Fixed Income Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross Unrealized (Depreciation) | | | Net
Unrealized
(Depreciation) | |
Core Fixed Income Fund | | $ | 1,996,499,874 | | | $ | 44,181,992 | | | $ | (100,411,827) | | | $ | (56,229,835) | |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Backed Security |
| ACES | | — Alternative Credit Enhancement Securities |
| CDO | | — Collateralized Debt Obligation |
| CLO | | — Collateralized Loan Obligation |
| CME | | — Chicago Mercantile Exchange |
| CMT | | — Constant Maturity Treasury Rate |
| DAC | | — Designated Activity Company |
| EURIBOR | | — Euro Interbank Offered Rate |
| GO | | — General Obligation |
| IBOR | | — Interbank Offered Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| PAM | | — Paid at Maturity |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| SOFR | | — Secured Overnight Financing Rate |
See Notes to Financial Statements.
196
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 29.7 | % |
Mortgage-Backed Securities | | | 27.1 | |
U.S. Government Agencies & Obligations | | | 20.8 | |
Collateralized Mortgage Obligations | | | 11.3 | |
Sovereign Bonds | | | 3.8 | |
Asset-Backed Securities | | | 0.8 | |
Senior Loans | | | 0.7 | |
Municipal Bonds | | | 0.2 | |
Common Stock | | | 0.0 | * |
Purchased Option | | | 0.0 | * |
Short-Term Investments | | | 5.6 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2024, Core Fixed Income Fund held the following Option Contracts Purchased:
| | | | | | | | | | | | | | | | | | | | | | |
| Option on Futures | | | | | | | | | | | | |
| | | | | | |
Number of Contracts | | | Notional
Amount† | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 215 | | | $ 51,108,188 | | 3-Month SOFR Futures, Call
(Cost — $25,739) | | | GSC | | | | 9/13/24 | | | $ | 95.25 | | | $ | 8,063 | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2024, Core Fixed Income Fund held the following Options Contracts Written:
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 215 | | | | $ 51,108,188 | | | 3-Month SOFR Futures, Call | | | GSC | | | | 9/13/24 | | | $ | 96.25 | | | $ | 1,344 | |
| | 50 | | | | 11,885,625 | | | 3-Month SOFR Futures, Call | | | GSC | | | | 9/13/24 | | | $ | 96.88 | | | | 312 | |
| | 416 | | | | 100,448,400 | | | 3-Month SOFR Futures, Call | | | GSC | | | | 6/13/25 | | | $ | 97.00 | | | | 275,600 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $150,639) | | | | | | | | | | | | | | $ | 277,256 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
197
At August 31, 2024, Core Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 368 | | | | 3/26 | | | $ | 88,421,791 | | | $ | 89,079,000 | | | $ | 657,209 | |
U.S. Treasury 2-Year Note Futures | | | 675 | | | | 12/24 | | | | 140,225,034 | | | | 140,094,141 | | | | (130,893 | ) |
U.S. Treasury 5-Year Note Futures | | | 386 | | | | 12/24 | | | | 42,325,815 | | | | 42,227,797 | | | | (98,018 | ) |
U.S. Treasury 10-Year Note Futures | | | 1,477 | | | | 12/24 | | | | 168,614,087 | | | | 167,731,813 | | | | (882,274 | ) |
U.S. Treasury Ultra Long Bond Futures | | | 129 | | | | 12/24 | | | | 17,329,804 | | | | 17,019,938 | | | | (309,866 | ) |
U.S. Ultra Long Bond Futures | | | 32 | | | | 12/24 | | | | 3,786,547 | | | | 3,758,000 | | | | (28,547 | ) |
United Kingdom Treasury 10-Year Gilt Futures | | | 48 | | | | 12/24 | | | | 6,217,714 | | | | 6,222,127 | | | | 4,413 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (787,976 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Futures | | | 100 | | | | 9/24 | | | | 12,752,471 | | | | 13,007,830 | | | | (255,359 | ) |
Euro-Bund Futures | | | 87 | | | | 9/24 | | | | 12,492,060 | | | | 12,878,680 | | | | (386,620 | ) |
Japan Government 10-Year Bond Futures | | | 9 | | | | 9/24 | | | | 8,804,502 | | | | 8,911,025 | | | | (106,523 | ) |
U.S. Treasury 5-Year Note Futures | | | 548 | | | | 12/24 | | | | 60,151,563 | | | | 59,950,345 | | | | 201,218 | |
U.S. Treasury Long Bond Futures | | | 36 | | | | 12/24 | | | | 4,462,875 | | | | 4,432,500 | | | | 30,375 | |
U.S. Ultra Long Bond Futures | | | 44 | | | | 12/24 | | | | 5,208,210 | | | | 5,167,250 | | | | 40,960 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (475,949 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (1,263,925 | ) |
| | | | | | | | | | | | | | | | | |
At August 31, 2024, Core Fixed Income Fund had deposited cash of $11,099,341 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
See Notes to Financial Statements.
198
At August 31, 2024, Core Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 7,635,708 | | | | USD | | | | 5,167,840 | | | | CITI | | | $ | 5,172,880 | | | | 10/18/24 | | | $ | 5,040 | |
Australian Dollar | | | 2,670,000 | | | | USD | | | | 1,748,179 | | | | CITI | | | | 1,808,816 | | | | 10/18/24 | | | | 60,637 | |
Brazilian Real | | | 49,110,606 | | | | USD | | | | 8,829,587 | | | | CITI | | | | 8,687,319 | | | | 10/2/24 | | | | (142,268 | ) |
Brazilian Real | | | 49,110,606 | | | | USD | | | | 8,682,615 | | | | CITI | | | | 8,715,822 | | | | 9/4/24 | | | | 33,207 | |
Brazilian Real | | | 49,110,606 | | | | USD | | | | 8,661,635 | | | | CITI | | | | 8,715,822 | | | | 9/4/24 | | | | 54,187 | |
British Pound | | | 2,592,500 | | | | USD | | | | 3,350,858 | | | | GSC | | | | 3,405,699 | | | | 9/30/24 | | | | 54,841 | |
Euro | | | 460,000 | | | | USD | | | | 503,613 | | | | GSC | | | | 509,113 | | | | 9/30/24 | | | | 5,500 | |
Euro | | | 1,400,000 | | | | USD | | | | 1,508,640 | | | | GSC | | | | 1,549,473 | | | | 9/30/24 | | | | 40,833 | |
Euro | | | 4,400,000 | | | | USD | | | | 4,810,388 | | | | GSC | | | | 4,869,772 | | | | 9/30/24 | | | | 59,384 | |
Indian Rupee | | | 54,650,000 | | | | USD | | | | 652,530 | | | | CITI | | | | 650,921 | | | | 10/18/24 | | | | (1,609 | ) |
Japanese Yen | | | 735,477,380 | | | | USD | | | | 4,645,115 | | | | CITI | | | | 5,064,722 | | | | 10/18/24 | | | | 419,607 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 589,359 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 4,070,000 | | | | USD | | | | 2,747,787 | | | | CITI | | | | 2,757,258 | | | | 10/18/24 | | | | (9,471 | ) |
Australian Dollar | | | 510,000 | | | | USD | | | | 342,826 | | | | CITI | | | | 345,505 | | | | 10/18/24 | | | | (2,679 | ) |
Australian Dollar | | | 500,000 | | | | USD | | | | 336,504 | | | | CITI | | | | 338,730 | | | | 10/18/24 | | | | (2,226 | ) |
Australian Dollar | | | 1,260,000 | | | | USD | | | | 855,138 | | | | CITI | | | | 853,598 | | | | 10/18/24 | | | | 1,540 | |
Australian Dollar | | | 690,000 | | | | USD | | | | 469,223 | | | | CITI | | | | 467,446 | | | | 10/18/24 | | | | 1,777 | |
Australian Dollar | | | 3,710,000 | | | | USD | | | | 2,472,492 | | | | GSC | | | | 2,512,387 | | | | 9/30/24 | | | | (39,895 | ) |
Brazilian Real | | | 49,110,606 | | | | USD | | | | 8,682,615 | | | | CITI | | | | 8,715,822 | | | | 9/4/24 | | | | (33,207 | ) |
Brazilian Real | | | 49,110,606 | | | | USD | | | | 8,856,737 | | | | CITI | | | | 8,715,822 | | | | 9/4/24 | | | | 140,915 | |
British Pound | | | 3,508,520 | | | | USD | | | | 4,497,660 | | | | CITI | | | | 4,609,536 | | | | 10/18/24 | | | | (111,876 | ) |
British Pound | | | 5,185,000 | | | | USD | | | | 6,587,646 | | | | GSC | | | | 6,811,398 | | | | 9/30/24 | | | | (223,752 | ) |
Chinese Offshore Renminbi | | | 23,253,932 | | | | USD | | | | 3,211,292 | | | | CITI | | | | 3,296,455 | | | | 10/18/24 | | | | (85,163 | ) |
Chinese Offshore Renminbi | | | 55,740,000 | | | | USD | | | | 7,864,367 | | | | CITI | | | | 7,901,649 | | | | 10/18/24 | | | | (37,282 | ) |
Euro | | | 4,310,610 | | | | USD | | | | 4,686,371 | | | | CITI | | | | 4,775,014 | | | | 10/18/24 | | | | (88,643 | ) |
Euro | | | 1,870,000 | | | | USD | | | | 2,045,295 | | | | CITI | | | | 2,071,464 | | | | 10/18/24 | | | | (26,169 | ) |
Euro | | | 1,880,000 | | | | USD | | | | 2,057,788 | | | | CITI | | | | 2,082,542 | | | | 10/18/24 | | | | (24,754 | ) |
Euro | | | 38,815,000 | | | | USD | | | | 41,904,286 | | | | GSC | | | | 42,959,139 | | | | 9/30/24 | | | | (1,054,853 | ) |
Euro | | | 2,500,000 | | | | USD | | | | 2,712,375 | | | | GSC | | | | 2,766,916 | | | | 9/30/24 | | | | (54,541 | ) |
Japanese Yen | | | 103,700,000 | | | | USD | | | | 673,079 | | | | CITI | | | | 714,110 | | | | 10/18/24 | | | | (41,031 | ) |
Japanese Yen | | | 94,140,000 | | | | USD | | | | 608,251 | | | | CITI | | | | 648,277 | | | | 10/18/24 | | | | (40,026 | ) |
Japanese Yen | | | 79,840,000 | | | | USD | | | | 518,212 | | | | CITI | | | | 549,802 | | | | 10/18/24 | | | | (31,590 | ) |
Japanese Yen | | | 59,180,000 | | | | USD | | | | 378,012 | | | | CITI | | | | 407,531 | | | | 10/18/24 | | | | (29,519 | ) |
Japanese Yen | | | 55,240,000 | | | | USD | | | | 352,838 | | | | CITI | | | | 380,399 | | | | 10/18/24 | | | | (27,561 | ) |
Japanese Yen | | | 44,780,000 | | | | USD | | | | 295,016 | | | | CITI | | | | 308,369 | | | | 10/18/24 | | | | (13,353 | ) |
Japanese Yen | | | 37,570,000 | | | | USD | | | | 247,794 | | | | CITI | | | | 258,719 | | | | 10/18/24 | | | | (10,925 | ) |
Japanese Yen | | | 17,080,000 | | | | USD | | | | 109,278 | | | | CITI | | | | 117,619 | | | | 10/18/24 | | | | (8,341 | ) |
Japanese Yen | | | 28,530,000 | | | | USD | | | | 188,224 | | | | CITI | | | | 196,467 | | | | 10/18/24 | | | | (8,243 | ) |
Japanese Yen | | | 16,570,000 | | | | USD | | | | 105,973 | | | | CITI | | | | 114,107 | | | | 10/18/24 | | | | (8,134 | ) |
Japanese Yen | | | 22,620,000 | | | | USD | | | | 148,780 | | | | CITI | | | | 155,768 | | | | 10/18/24 | | | | (6,988 | ) |
Japanese Yen | | | 26,000,000 | | | | USD | | | | 178,582 | | | | CITI | | | | 179,043 | | | | 10/18/24 | | | | (461 | ) |
Malaysian Ringgit | | | 6,440,000 | | | | USD | | | | 1,370,942 | | | | GSC | | | | 1,493,196 | | | | 9/30/24 | | | | (122,254 | ) |
Mexican Peso | | | 21,290,000 | | | | USD | | | | 1,180,875 | | | | CITI | | | | 1,073,781 | | | | 10/18/24 | | | | 107,094 | |
Mexican Peso | | | 43,160,016 | | | | USD | | | | 2,294,394 | | | | CITI | | | | 2,176,814 | | | | 10/18/24 | | | | 117,580 | |
Mexican Peso | | | 63,769,986 | | | | USD | | | | 3,488,988 | | | | CITI | | | | 3,216,296 | | | | 10/18/24 | | | | 272,692 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (1,501,339 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (911,980 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
199
At August 31, 2024, Core Fixed Income Fund held the following OTC Interest Rate Swap Contract:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Depreciation | |
| Pay | | BRL-CDI-Compounded | | | 10.238% | | | | 1/2/29 | | | | PAM | | | | CITI | | | | BRL 48,580,000 | | | $ | (782,669 | ) | | $ | — | | | $ | (782,669 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Maturity
Date | | | Payment Frequency | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | SOFR | | | 3.050% | | | | 2/15/48 | | | | 12-Month | | | | USD | | | | 2,075,000 | | | $ | 170,757 | | | $ | 87,154 | | | $ | 83,603 | |
| Receive | | SOFR | | | 3.150% | | | | 5/15/48 | | | | 12-Month | | | | USD | | | | 5,168,000 | | | | 310,732 | | | | 217,955 | | | | 92,777 | |
| Receive | | SOFR | | | 4.200% | | | | 4/30/31 | | | | 12-Month | | | | USD | | | | 47,129,000 | | | | (2,214,820 | ) | | | (783,599 | ) | | | (1,431,221 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (1,733,331 | ) | | $ | (478,490 | ) | | $ | (1,254,841 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Sell Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligations & Ratings | | Fixed Deal
Receive Rate | | | Maturity Date | | | Payment Frequency | | | Implied Credit
Spread at
8/31/24 (2) | | | Notional
Amount (3) | | | Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Markit CDX North America Investment Grade Series 42 5-Year Index, NR | | | 1.000 | % | | | 6/20/29 | | | | 3-Month | | | | 0.495% | | | | USD | | | | 63,728,000 | | | $ | 1,536,659 | | | $ | 1,327,163 | | | $ | 209,496 | |
Markit CDX North America High Yield Series 42 5-Year Index, NR | | | 5.000 | % | | | 6/20/29 | | | | 3-Month | | | | 3.234% | | | | USD | | | | 786,600 | | | | 63,593 | | | | 42,341 | | | | 21,252 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,600,252 | | | $ | 1,369,504 | | | $ | 230,748 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At August 31, 2024, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $2,197,990 for open centrally cleared swap contracts.
See Notes to Financial Statements.
200
| | | | | | |
| Core Fixed Income Fund | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | CITI | | — Citigroup Global Markets Inc. |
| BRL | | — Brazilian Real | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | | | |
| GBP | | — British Pound | | | | |
| IDR | | — Indonesian Rupiah | | | | |
| INR | | — Indian Rupee | | | | |
| JPY | | — Japanese Yen | | | | |
| MXN | | — Mexican Peso | | | | |
| MYR | | — Malaysian Ringgit | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
201
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 89.4% | |
|
| Advertising — 0.1% | |
| $ | 200,000 | | | CCC | | Clear Channel Outdoor Holdings Inc., Company Guaranteed Notes, 7.500% due 6/1/29(a) | | $ | 168,780 | |
| | | | | | | | | | |
|
| Aerospace/Defense — 1.0% | |
| | 190,000 | | | BB | | AAR Escrow Issuer LLC, Company Guaranteed Notes, 6.750% due 3/15/29(a) | | | 196,851 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 142,000 | | | B+ | | 7.875% due 4/15/27(a) | | | 142,560 | |
| | 230,000 | | | B+ | | 8.750% due 11/15/30(a) | | | 251,111 | |
| | 210,000 | | | B+ | | 7.250% due 7/1/31(a) | | | 220,700 | |
| | | | | | TransDigm Inc., Senior Secured Notes: | | | | |
| | 300,000 | | | BB- | | 6.750% due 8/15/28(a) | | | 308,820 | |
| | 100,000 | | | BB- | | 7.125% due 12/1/31(a) | | | 105,728 | |
| | 40,000 | | | BB- | | 6.625% due 3/1/32(a) | | | 41,644 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 1,267,414 | |
| | | | | | | | | | |
|
| Agriculture — 0.1% | |
| | 140,000 | | | BB+ | | Darling Ingredients Inc., Company Guaranteed Notes, 6.000% due 6/15/30(a) | | | 141,397 | |
| | | | | | | | | | |
|
| Airlines — 2.5% | |
| | 350,000 | | | BBB- | | Air Canada, Senior Secured Notes, 3.875% due 8/15/26(a) | | | 338,003 | |
| | | | | | American Airlines Inc., Senior Secured Notes: | | | | |
| | 770,000 | | | BB- | | 7.250% due 2/15/28(a) | | | 775,620 | |
| | 240,000 | | | BB | | 8.500% due 5/15/29(a) | | | 249,669 | |
| | 431,000 | | | Ba1(b) | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(a) | | | 422,884 | |
| | 456,578 | | | B2(b) | | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 11.000% due 4/15/29(a) | | | 465,467 | |
| | 50,000 | | | B+ | | JetBlue Airways Corp./JetBlue Loyalty LP, Senior Secured Notes, 9.875% due 9/20/31(a) | | | 49,449 | |
| | 432,747 | | | Caa2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 270,548 | |
| | | | | | United Airlines Inc., Senior Secured Notes: | | | | |
| | 106,000 | | | BB+ | | 4.375% due 4/15/26(a) | | | 103,546 | |
| | 465,000 | | | BB+ | | 4.625% due 4/15/29(a) | | | 442,927 | |
| | | | | | VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | B- | | 7.875% due 5/1/27(a) | | | 75,192 | |
| | 80,000 | | | B- | | 9.500% due 6/1/28(a) | | | 74,895 | |
| | 150,000 | | | B- | | 6.375% due 2/1/30(a) | | | 123,145 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 3,391,345 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 1.3% | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB- | | 3.250% due 2/12/32 | | | 93,865 | |
| | 10,000 | | | BBB- | | 6.100% due 8/19/32 | | | 10,287 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 410,000 | | | BBB- | | 7.350% due 3/6/30 | | | 444,052 | |
| | 550,000 | | | BBB- | | 4.000% due 11/13/30 | | | 507,490 | |
| | 140,000 | | | B+ | | JB Poindexter & Co., Inc., Senior Unsecured Notes, 8.750% due 12/15/31(a) | | | 147,855 | |
| | 565,000 | | | B- | | PM General Purchaser LLC, Senior Secured Notes, 9.500% due 10/1/28(a) | | | 579,769 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 1,783,318 | |
| | | | | | | | | | |
|
| Auto Parts & Equipment — 0.9% | |
| | 150,000 | | | B+ | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 5.000% due 10/1/29 | | | 139,643 | |
| | 190,000 | | | CCC | | Dornoch Debt Merger Sub Inc., Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 160,738 | |
| | 160,000 | | | B | | Garrett Motion Holdings Inc./Garrett LX I Sarl, Company Guaranteed Notes, 7.750% due 5/31/32(a) | | | 165,732 | |
| | 192,000 | | | B | | Titan International Inc., Senior Secured Notes, 7.000% due 4/30/28 | | | 187,865 | |
| | | | | | ZF North America Capital Inc., Company Guaranteed Notes: | | | | |
| | 150,000 | | | BB+ | | 7.125% due 4/14/30(a) | | | 157,125 | |
| | 403,000 | | | BB+ | | 6.875% due 4/23/32(a) | | | 419,021 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 1,230,124 | |
| | | | | | | | | | |
See Notes to Financial Statements.
202
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 2.7% | |
| $ | 200,000 | | | BBB- | | Banco Santander SA, Junior Subordinated Notes, 9.625%
(5-Year CMT Index + 5.298%)(c)(d) | | $ | 232,383 | |
| | 250,000 | | | BBB- | | Bank of Nova Scotia(The), Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 4.017%) due 1/27/84(c) | | | 265,778 | |
| | | | | | BNP Paribas SA, Junior Subordinated Notes: | | | | |
| | 200,000 | | | BBB- | | 7.375% (5-Year USD Swap Rate + 5.150%)(a)(c)(d) | | | 201,973 | |
| | 200,000 | | | BBB- | | 7.750% (5-Year CMT Index + 4.899%)(a)(c)(d) | | | 208,348 | |
| | 180,000 | | | BB+ | | Citigroup Inc., Junior Subordinated Notes, 7.200%
(5-Year CMT Index + 2.905%)(c)(d) | | | 188,607 | |
| | 400,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125%
(5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 411,156 | |
| | | | | | Credit Suisse Group AG, Junior Subordinated Notes: | | | | |
| | 230,000 | | | WR(b) | | (Cost — $228,369, acquired 4/15/20), 6.375%
(5-Year CMT Index + 4.822%)(a)(c)(d)(e)(f)# | | | — | |
| | 200,000 | | | WR(b) | | (Cost — $205,250, acquired 2/19/19), 7.500%
(5-Year USD Swap Rate + 4.600%)(a)(c)(d)(e)(f)# | | | — | |
| | 200,000 | | | WD(g) | | (Cost — $200,000, acquired 6/16/22), 9.750%
(5-Year CMT Index + 6.383%)(a)(c)(d)(e)(f)# | | | — | |
| | 360,000 | | | BB+ | | Intesa Sanpaolo SpA, Subordinated Notes, 4.198%
(1-Year CMT Index + 2.600%) due 6/1/32(a)(c) | | | 315,529 | |
| | 400,000 | | | BB- | | Lloyds Banking Group PLC, Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 3.913%)(c)(d) | | | 424,067 | |
| | | | | | Toronto-Dominion Bank (The), Junior Subordinated Notes: | | | | |
| | 200,000 | | | BBB | | 8.125% (5-Year CMT Index + 4.075%) due 10/31/82(c) | | | 213,602 | |
| | 200,000 | | | BBB | | 7.250% (5-Year CMT Index + 2.977%) due 7/31/84(c) | | | 204,965 | |
| | 250,000 | | | A+ | | UBS AG, Senior Unsecured Notes, 3.625% due 9/9/24 | | | 249,926 | |
| | 220,000 | | | BB | | UBS Group AG, Junior Subordinated Notes, 7.750%
(5-Year USD SOFR ICE Swap Rate + 4.160%)(a)(c)(d) | | | 231,137 | |
| | 520,000 | | | BB+ | | UniCredit SpA, Subordinated Notes, 5.459%
(5-Year CMT Index + 4.750%) due 6/30/35(a)(c) | | | 508,059 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 3,655,530 | |
| | | | | | | | | | |
|
| Beverages — 0.1% | |
| | 188,000 | | | CCC+ | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | 186,639 | |
| | | | | | | | | | |
|
| Building Materials — 0.7% | |
| | 180,000 | | | BB | | Masterbrand Inc., Company Guaranteed Notes, 7.000% due 7/15/32(a) | | | 185,545 | |
| | 190,000 | | | BB- | | Miter Brands Acquisition Holdco Inc./MIWD Borrower LLC, Senior Secured Notes, 6.750% due 4/1/32(a) | | | 195,372 | |
| | 130,000 | | | B- | | MIWD Holdco II LLC/MIWD Finance Corp., Company Guaranteed Notes, 5.500% due 2/1/30(a) | | | 123,579 | |
| | 50,000 | | | BB- | | Smyrna Ready Mix Concrete LLC, Senior Secured Notes, 6.000% due 11/1/28(a) | | | 49,950 | |
| | 252,000 | | | BB | | Standard Industries Inc., Senior Unsecured Notes, 5.000% due 2/15/27(a) | | | 249,220 | |
| | 190,000 | | | BB+ | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.250% due 1/15/29(a) | | | 188,255 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 991,921 | |
| | | | | | | | | | |
|
| Chemicals — 1.2% | |
| | 371,000 | | | BB- | | Consolidated Energy Finance SA, Company Guaranteed Notes, 5.625% due 10/15/28(a) | | | 301,276 | |
| | 160,000 | | | B- | | LSF11 A5 HoldCo LLC, Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 153,970 | |
| | 215,000 | | | BB | | Methanex Corp., Senior Unsecured Notes, 5.125% due 10/15/27 | | | 211,761 | |
| | 362,000 | | | BB- | | Minerals Technologies Inc., Company Guaranteed Notes, 5.000% due 7/1/28(a) | | | 351,593 | |
| | 315,000 | | | B- | | Olympus Water US Holding Corp., Senior Secured Notes, 9.750% due 11/15/28(a) | | | 335,943 | |
| | 393,000 | | | CCC | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc., Company Guaranteed Notes, 5.125% due 4/1/29(a) | | | 179,199 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 1,533,742 | |
| | | | | | | | | | |
See Notes to Financial Statements.
203
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Coal — 0.1% | |
| $ | 152,000 | | | BB+ | | Warrior Met Coal Inc., Senior Secured Notes, 7.875% due 12/1/28(a) | | $ | 157,237 | |
| | | | | | | | | | |
|
| Commercial Services — 5.8% | |
| | 145,000 | | | BB | | Adtalem Global Education Inc., Senior Secured Notes, 5.500% due 3/1/28(a) | | | 142,742 | |
| | 630,000 | | | B | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes, 4.625% due 6/1/28(a) | | | 584,547 | |
| | 181,000 | | | BB- | | Avis Budget Car Rental LLC/Avis Budget Finance Inc., Company Guaranteed Notes, 5.375% due 3/1/29(a) | | | 166,044 | |
| | 265,000 | | | BB+ | | Block Inc., Senior Unsecured Notes, 6.500% due 5/15/32(a) | | | 275,094 | |
| | 510,000 | | | BB | | Boost Newco Borrower LLC, Senior Secured Notes, 7.500% due 1/15/31(a) | | | 544,382 | |
| | 130,000 | | | B | | Carriage Services Inc., Company Guaranteed Notes, 4.250% due 5/15/29(a) | | | 120,161 | |
| | 380,000 | | | BB- | | CoreCivic Inc., Company Guaranteed Notes, 8.250% due 4/15/29 | | | 401,143 | |
| | 432,000 | | | CCC | | Deluxe Corp., Company Guaranteed Notes, 8.000% due 6/1/29(a) | | | 404,129 | |
| | | | | | Garda World Security Corp., Senior Unsecured Notes: | | | | |
| | 340,000 | | | CCC+ | | 9.500% due 11/1/27(a) | | | 343,370 | |
| | 72,000 | | | CCC+ | | 6.000% due 6/1/29(a) | | | 68,180 | |
| | | | | | GEO Group Inc.(The): | | | | |
| | 320,000 | | | B | | Company Guaranteed Notes, 10.250% due 4/15/31 | | | 338,381 | |
| | 130,000 | | | BB | | Senior Secured Notes, 8.625% due 4/15/29 | | | 134,974 | |
| | | | | | Hertz Corp.(The): | | | | |
| | 448,000 | | | B- | | Company Guaranteed Notes, 4.625% due 12/1/26(a) | | | 352,106 | |
| | 95,000 | | | BB- | | Senior Secured Notes, 12.625% due 7/15/29(a) | | | 101,274 | |
| | 233,000 | | | CCC | | Mavis Tire Express Services Topco Corp., Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | 224,995 | |
| | 360,000 | | | B | | Mobius Merger Sub Inc., Senior Secured Notes, 9.000% due 6/1/30(a) | | | 350,744 | |
| | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | | |
| | 210,000 | | | B | | Secured Notes, 6.250% due 1/15/28(a) | | | 209,394 | |
| | 231,000 | | | BB | | Senior Secured Notes, 3.375% due 8/31/27(a) | | | 218,936 | |
| | 63,000 | | | BB- | | PROG Holdings Inc., Company Guaranteed Notes, 6.000% due 11/15/29(a) | | | 61,591 | |
| | | | | | RR Donnelley & Sons Co.: | | | | |
| | 290,000 | | | B- | | Secured Notes, 10.875% due 8/1/29(a) | | | 284,093 | |
| | 150,000 | | | B | | Senior Secured Notes, 9.500% due 8/1/29(a) | | | 148,831 | |
| | 276,000 | | | Ba3(b) | | Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Company Guaranteed Notes, 6.750% due 8/15/32(a) | | | 284,902 | |
| | 290,000 | | | BB | | TriNet Group Inc., Company Guaranteed Notes, 3.500% due 3/1/29(a) | | | 269,582 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 170,000 | | | BB+ | | 3.875% due 2/15/31 | | | 157,125 | |
| | 230,000 | | | BB+ | | 6.125% due 3/15/34(a) | | | 235,218 | |
| | 724,000 | | | B | | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 706,947 | |
| | 439,000 | | | B | | VM Consolidated Inc., Company Guaranteed Notes, 5.500% due 4/15/29(a) | | | 427,902 | |
| | 315,000 | | | B- | | WW International Inc., Senior Secured Notes, 4.500% due 4/15/29(a) | | | 81,112 | |
| | 100,000 | | | B+ | | ZipRecruiter Inc., Senior Unsecured Notes, 5.000% due 1/15/30(a) | | | 89,664 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 7,727,563 | |
| | | | | | | | | | |
|
| Computers — 1.7% | |
| | 515,000 | | | CCC+ | | Ahead DB Holdings LLC, Company Guaranteed Notes, 6.625% due 5/1/28(a) | | | 495,731 | |
| | 260,000 | | | B | | Amentum Escrow Corp., Senior Unsecured Notes, 7.250% due 8/1/32(a) | | | 272,605 | |
| | 205,000 | | | B | | Fortress Intermediate 3 Inc., Senior Secured Notes, 7.500% due 6/1/31(a) | | | 212,923 | |
| | 650,000 | | | CCC+ | | McAfee Corp., Senior Unsecured Notes, 7.375% due 2/15/30(a) | | | 624,080 | |
| | 190,000 | | | B+ | | NCR Atleos Corp., Senior Secured Notes, 9.500% due 4/1/29(a) | | | 209,483 | |
| | 211,000 | | | B+ | | NCR Voyix Corp., Company Guaranteed Notes, 5.125% due 4/15/29(a) | | | 206,919 | |
| | 210,000 | | | BB | | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29(a) | | | 200,115 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 2,221,856 | |
| | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.2% | |
| | 268,000 | | | BB | | Edgewell Personal Care Co., Company Guaranteed Notes, 4.125% due 4/1/29(a) | | | 254,253 | |
| | | | | | | | | | |
See Notes to Financial Statements.
204
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Distribution/Wholesale — 0.5% | |
| $ | 68,363 | | | NR | | American News Co. LLC, Secured Notes, 8.500%
(8.500% cash or 10.000% PIK) due 9/1/26(a)(h) | | $ | 77,934 | |
| | 110,000 | | | B+ | | Gates Corp., Company Guaranteed Notes, 6.875% due 7/1/29(a) | | | 112,969 | |
| | 160,000 | | | BB- | | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | | | 148,367 | |
| | 271,000 | | | B+ | | Windsor Holdings III LLC, Senior Secured Notes, 8.500% due 6/15/30(a) | | | 290,621 | |
| | | | | | | | | | |
| | | | | | Total Distribution/Wholesale | | | 629,891 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 4.7% | |
| | 369,300 | | | NR | | Accelerate360 Holdings LLC, Secured Notes, 8.000% due 3/1/28(a) | | | 382,661 | |
| | 150,000 | | | BBB- | | AerCap Holdings NV, Company Guaranteed Notes, 5.875%
(5-Year CMT Index + 4.535%) due 10/10/79(c) | | | 149,889 | |
| | 256,000 | | | BB | | Aircastle Ltd., Junior Subordinated Notes, 5.250% (5-Year CMT Index + 4.410%)(a)(c)(d) | | | 252,161 | |
| | 482,000 | | | BB+ | | Ally Financial Inc., Subordinated Notes, 6.700% due 2/14/33 | | | 496,808 | |
| | 300,000 | | | BB- | | Bread Financial Holdings Inc., Company Guaranteed Notes, 9.750% due 3/15/29(a) | | | 323,912 | |
| | | | | | Burford Capital Global Finance LLC, Company Guaranteed Notes: | | | | |
| | 724,000 | | | BB- | | 6.250% due 4/15/28(a) | | | 716,877 | |
| | 240,000 | | | BB- | | 9.250% due 7/1/31(a) | | | 256,902 | |
| | 110,000 | | | BBB- | | Charles Schwab Corp.(The), Junior Subordinated Notes, 4.000%
(10-Year CMT Index + 3.079%)(c)(d) | | | 95,844 | |
| | 318,000 | | | CCC | | Cobra AcquisitionCo LLC, Company Guaranteed Notes, 6.375% due 11/1/29(a) | | | 251,124 | |
| | 180,000 | | | BB- | | Coinbase Global Inc., Company Guaranteed Notes, 3.625% due 10/1/31(a) | | | 148,359 | |
| | 335,000 | | | BB | | Credit Acceptance Corp., Company Guaranteed Notes, 9.250% due 12/15/28(a) | | | 360,525 | |
| | | | | | Enova International Inc., Company Guaranteed Notes: | | | | |
| | 44,000 | | | B- | | 11.250% due 12/15/28(a) | | | 47,368 | |
| | 280,000 | | | B- | | 9.125% due 8/1/29(a) | | | 285,422 | |
| | 316,000 | | | BB- | | goeasy Ltd., Senior Unsecured Notes, 7.625% due 7/1/29(a) | | | 326,144 | |
| | | | | | Jane Street Group/JSG Finance Inc., Senior Secured Notes: | | | | |
| | 200,000 | | | BB | | 4.500% due 11/15/29(a) | | | 191,039 | |
| | 405,000 | | | BB | | 7.125% due 4/30/31(a) | | | 425,594 | |
| | 278,000 | | | B1(b) | | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(a) | | | 259,684 | |
| | | | | | OneMain Finance Corp., Company Guaranteed Notes: | | | | |
| | 231,000 | | | BB | | 5.375% due 11/15/29 | | | 222,423 | |
| | 115,000 | | | BB | | 7.500% due 5/15/31 | | | 119,063 | |
| | | | | | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 360,000 | | | BB | | 3.875% due 3/1/31(a) | | | 328,674 | |
| | 120,000 | | | BB | | 4.000% due 10/15/33(a) | | | 105,974 | |
| | 130,000 | | | BB- | | StoneX Group Inc., Senior Secured Notes, 7.875% due 3/1/31(a) | | | 136,806 | |
| | 425,000 | | | B+ | | VFH Parent LLC/Valor Co.-Issuer Inc., Senior Secured Notes, 7.500% due 6/15/31(a) | | | 441,644 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 6,324,897 | |
| | | | | | | | | | |
|
| Electric — 2.9% | |
| | 343,000 | | | BB+ | | Atlantica Sustainable Infrastructure PLC, Company Guaranteed Notes, 4.125% due 6/15/28(a) | | | 340,148 | |
| | 523,000 | | | B+ | | Calpine Corp., Senior Unsecured Notes, 5.000% due 2/1/31(a) | | | 501,811 | |
| | 245,000 | | | BB | | Clearway Energy Operating LLC, Company Guaranteed Notes, 3.750% due 1/15/32(a) | | | 217,820 | |
| | | | | | NextEra Energy Operating Partners LP: | | | | |
| | 220,000 | | | BB | | Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 212,682 | |
| | 385,000 | | | BB | | Senior Unsecured Notes, 7.250% due 1/15/29(a) | | | 403,437 | |
| | | | | | NRG Energy Inc., Company Guaranteed Notes: | | | | |
| | 174,000 | | | BB | | 5.750% due 1/15/28 | | | 174,345 | |
| | 290,000 | | | BB | | 5.250% due 6/15/29(a) | | | 286,804 | |
| | 202,000 | | | BB | | 3.625% due 2/15/31(a) | | | 180,887 | |
| | 435,000 | | | BB- | | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) | | | 418,606 | |
| | 90,000 | | | BB+ | | TransAlta Corp., Senior Unsecured Notes, 7.750% due 11/15/29 | | | 95,324 | |
See Notes to Financial Statements.
205
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 2.9% — (continued) | |
| | | | | | Vistra Operations Co. LLC: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| $ | 170,000 | | | BB | | 7.750% due 10/15/31(a) | | $ | 181,003 | |
| | 320,000 | | | BB | | 6.875% due 4/15/32(a) | | | 332,618 | |
| | 546,000 | | | BBB- | | Senior Secured Notes, 4.300% due 7/15/29(a) | | | 531,014 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 3,876,499 | |
| | | | | | | | | | |
|
| Electrical Components & Equipment — 0.3% | |
| | | | | | EnerSys, Company Guaranteed Notes: | | | | |
| | 335,000 | | | BB+ | | 4.375% due 12/15/27(a) | | | 328,479 | |
| | 29,000 | | | BB+ | | 6.625% due 1/15/32(a) | | | 30,414 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 358,893 | |
| | | | | | | | | | |
|
| Electronics — 0.9% | |
| | 461,000 | | | B | | EquipmentShare.com Inc., Secured Notes, 8.625% due 5/15/32(a) | | | 482,644 | |
| | 370,000 | | | BB- | | Imola Merger Corp., Senior Secured Notes, 4.750% due 5/15/29(a) | | | 356,457 | |
| | 380,000 | | | BB- | | TTM Technologies Inc., Company Guaranteed Notes, 4.000% due 3/1/29(a) | | | 358,919 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 1,198,020 | |
| | | | | | | | | | |
|
| Energy — Alternate Sources — 0.2% | |
| | 50,000 | | | NR | | NextEra Energy Partners LP, Company Guaranteed Notes, 2.500% due 6/15/26(a) | | | 46,316 | |
| | 260,000 | | | B2(b) | | Sunnova Energy Corp., Company Guaranteed Notes, 5.875% due 9/1/26(a) | | | 244,491 | |
| | | | | | | | | | |
| | | | | | Total Energy — Alternate Sources | | | 290,807 | |
| | | | | | | | | | |
|
| Engineering & Construction — 0.8% | |
| | 100,000 | | | B+ | | Arcosa Inc., Company Guaranteed Notes, 6.875% due 8/15/32(a) | | | 104,312 | |
| | 282,000 | | | B | | Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes, 6.000% due 2/1/26(a) | | | 282,221 | |
| | 170,000 | | | B | | Railworks Holdings LP/Railworks Rally Inc., Secured Notes, 8.250% due 11/15/28(a) | | | 174,571 | |
| | 150,000 | | | BB+ | | TopBuild Corp., Company Guaranteed Notes, 3.625% due 3/15/29(a) | | | 139,211 | |
| | 290,000 | | | CCC+ | | Tutor Perini Corp., Company Guaranteed Notes, 11.875% due 4/30/29(a) | | | 315,686 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 1,016,001 | |
| | | | | | | | | | |
|
| Entertainment — 2.6% | |
| | 478,000 | | | CCC- | | Allen Media LLC/Allen Media Co.-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) | | | 188,671 | |
| | 270,000 | | | CCC+ | | AMC Entertainment Holdings Inc., Senior Secured Notes, 7.500% due 2/15/29(a) | | | 197,021 | |
| | 555,000 | | | B+ | | Banijay Entertainment SAS, Senior Secured Notes, 8.125% due 5/1/29(a) | | | 577,714 | |
| | 154,000 | | | B | | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | | | 147,906 | |
| | | | | | Caesars Entertainment Inc.: | | | | |
| | 605,000 | | | B- | | Company Guaranteed Notes, 4.625% due 10/15/29(a) | | | 572,614 | |
| | | | | | Senior Secured Notes: | | | | |
| | 230,000 | | | BB- | | 7.000% due 2/15/30(a) | | | 238,369 | |
| | 217,000 | | | BB- | | 6.500% due 2/15/32(a) | | | 223,132 | |
| | 130,000 | | | NR | | DraftKings Holdings Inc., Company Guaranteed Notes, zero coupon due 3/15/28 | | | 108,940 | |
| | 73,000 | | | B- | | Mohegan Tribal Gaming Authority, Secured Notes, 8.000% due 2/1/26(a) | | | 70,812 | |
| | 240,000 | | | B | | Ontario Gaming GTA LP/OTG Co.-Issuer Inc., Senior Secured Notes, 8.000% due 8/1/30(a) | | | 247,795 | |
| | 443,000 | | | B+ | | SeaWorld Parks & Entertainment Inc., Company Guaranteed Notes, 5.250% due 8/15/29(a) | | | 428,905 | |
| | 107,000 | | | BB+ | | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) | | | 105,217 | |
| | 290,000 | | | BB- | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes, 7.125% due 2/15/31(a) | | | 308,001 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 3,415,097 | |
| | | | | | | | | | |
See Notes to Financial Statements.
206
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Environmental Control — 0.8% | |
| $ | 90,000 | | | BB+ | | Clean Harbors Inc., Company Guaranteed Notes, 6.375% due 2/1/31(a) | | $ | 92,038 | |
| | 200,000 | | | BB | | GFL Environmental Inc., Senior Secured Notes, 6.750% due 1/15/31(a) | | | 209,156 | |
| | 320,000 | | | B | | MadisonQ LLC, Senior Secured Notes, 4.125% due 6/30/28(a) | | | 304,542 | |
| | | | | | Reworld Holding Corp., Company Guaranteed Notes: | | | | |
| | 240,000 | | | B | | 4.875% due 12/1/29(a) | | | 222,908 | |
| | 243,000 | | | B | | 5.000% due 9/1/30 | | | 222,657 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,051,301 | |
| | | | | | | | | | |
|
| Food — 1.2% | |
| | 372,000 | | | BB+ | | Albertsons Cos Inc./Safeway Inc./New Albertsons LP/Albertsons LLC, Company Guaranteed Notes, 5.875% due 2/15/28(a) | | | 371,462 | |
| | 723,000 | | | B | | C&S Group Enterprises LLC, Company Guaranteed Notes, 5.000% due 12/15/28(a) | | | 549,693 | |
| | 131,000 | | | BB | | Land O’Lakes Capital Trust I, Limited Guaranteed Notes, 7.450% due 3/15/28(a) | | | 128,374 | |
| | 347,000 | | | BB | | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | | | 345,472 | |
| | 192,000 | | | B | | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, Secured Notes, 4.625% due 3/1/29(a) | | | 180,658 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 1,575,659 | |
| | | | | | | | | | |
|
| Forest Products & Paper — 0.2% | |
| | 316,000 | | | CCC | | Glatfelter Corp., Company Guaranteed Notes, 4.750% due 11/15/29(a) | | | 275,132 | |
| | | | | | | | | | |
|
| Healthcare — Products — 1.0% | |
| | | | | | Medline Borrower LP: | | | | |
| | 537,000 | | | B+ | | Senior Secured Notes, 3.875% due 4/1/29(a) | | | 507,694 | |
| | 230,000 | | | B- | | Senior Unsecured Notes, 5.250% due 10/1/29(a) | | | 226,003 | |
| | 285,000 | | | B+ | | Medline Borrower LP/Medline Co.-Issuer Inc., Senior Secured Notes, 6.250% due 4/1/29(a) | | | 294,142 | |
| | 320,000 | | | BB- | | Sotera Health Holdings LLC, Senior Secured Notes, 7.375% due 6/1/31(a) | | | 335,068 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 1,362,907 | |
| | | | | | | | | | |
|
| Healthcare — Services — 2.1% | |
| | 110,000 | | | NR | | Akumin Inc., Senior Secured Notes, 9.000% (8.000 % cash until 11/1/25 then 9.000 % cash or 8.000% cash and 2.000% PIK until 5/1/27 then 9.000% cash until 8/1/27) due 8/1/27(a)(h) | | | 99,052 | |
| | | | | | CHS/Community Health Systems Inc.: | | | | |
| | | | | | Secured Notes: | | | | |
| | 120,000 | | | CCC- | | 6.875% due 4/15/29(a) | | | 103,388 | |
| | 60,000 | | | CCC- | | 6.125% due 4/1/30(a) | | | 47,566 | |
| | | | | | Senior Secured Notes: | | | | |
| | 370,000 | | | B- | | 5.250% due 5/15/30(a) | | | 332,021 | |
| | 340,000 | | | B- | | 10.875% due 1/15/32(a) | | | 368,473 | |
| | 198,000 | | | B | | Concentra Escrow Issuer Corp., Senior Unsecured Notes, 6.875% due 7/15/32(a) | | | 207,442 | |
| | 110,000 | | | BBB- | | HCA Inc., Company Guaranteed Notes, 7.500% due 11/15/95 | | | 124,986 | |
| | | | | | LifePoint Health Inc., Senior Secured Notes: | | | | |
| | 320,000 | | | B | | 9.875% due 8/15/30(a) | | | 351,338 | |
| | 120,000 | | | B | | 11.000% due 10/15/30(a) | | | 135,351 | |
| | 310,000 | | | BB | | Molina Healthcare Inc., Senior Unsecured Notes, 3.875% due 11/15/30(a) | | | 285,314 | |
| | 366,000 | | | B+ | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | 368,057 | |
| | 240,000 | | | BB- | | Tenet Healthcare Corp., Senior Secured Notes, 4.250% due 6/1/29 | | | 230,476 | |
| | 115,500 | | | CCC+ | | US Renal Care Inc., Senior Secured Notes, 10.625% due 6/28/28(a) | | | 98,752 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 2,752,216 | |
| | | | | | | | | | |
|
| Holding Companies — Diversified — 0.2% | |
| | 200,000 | | | BB+ | | Stena International SA, Senior Secured Notes, 7.250% due 1/15/31(a) | | | 206,064 | |
| | | | | | | | | | |
See Notes to Financial Statements.
207
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Home Builders — 0.6% | |
| $ | 210,000 | | | B | | Empire Communities Corp., Senior Unsecured Notes, 9.750% due 5/1/29(a) | | $ | 221,550 | |
| | | | | | Forestar Group Inc., Company Guaranteed Notes: | | | | |
| | 120,000 | | | BB- | | 3.850% due 5/15/26(a) | | | 117,166 | |
| | 120,000 | | | BB- | | 5.000% due 3/1/28(a) | | | 116,349 | |
| | | | | | Mattamy Group Corp., Senior Unsecured Notes: | | | | |
| | 201,000 | | | BB+ | | 5.250% due 12/15/27(a) | | | 198,970 | |
| | 130,000 | | | BB+ | | 4.625% due 3/1/30(a) | | | 122,799 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 776,834 | |
| | | | | | | | | | |
|
| Insurance — 1.4% | |
| | 255,000 | | | B- | | Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, Senior Secured Notes, 7.125% due 5/15/31(a) | | | 266,033 | |
| | 248,006 | | | BB+ | | Highlands Holdings Bonds Issuer Ltd./Highlands Holdings Bonds Co.-Issuer Inc., Senior Secured Notes, 7.625% (7.625% cash or 8.375% PIK) due 10/15/25(a)(h) | | | 248,693 | |
| | 350,000 | | | B | | Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Senior Secured Notes, 7.250% due 2/15/31(a) | | | 360,471 | |
| | 327,000 | | | B- | | Jones Deslauriers Insurance Management Inc., Senior Secured Notes, 8.500% due 3/15/30(a) | | | 348,038 | |
| | 320,000 | | | B | | Panther Escrow Issuer LLC, Senior Secured Notes, 7.125% due 6/1/31(a) | | | 333,582 | |
| | 385,000 | | | BB- | | Ryan Specialty LLC, Senior Secured Notes, 4.375% due 2/1/30(a) | | | 369,406 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 1,926,223 | |
| | | | | | | | | | |
|
| Internet — 1.5% | |
| | 200,000 | | | B | | Acuris Finance US Inc./Acuris Finance Sarl, Senior Secured Notes, 5.000% due 5/1/28(a) | | | 179,312 | |
| | 147,000 | | | B+ | | Cogent Communications Group Inc./Cogent Communications Finance Inc., Company Guaranteed Notes, 7.000% due 6/15/27(a) | | | 148,735 | |
| | 210,000 | | | B+ | | Cogent Communications Group LLC, Company Guaranteed Notes, 7.000% due 6/15/27(a) | | | 212,823 | |
| | | | | | Gen Digital Inc., Company Guaranteed Notes: | | | | |
| | 101,000 | | | BB- | | 6.750% due 9/30/27(a) | | | 103,525 | |
| | 198,000 | | | BB- | | 7.125% due 9/30/30(a) | | | 207,092 | |
| | 419,000 | | | B- | | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(a) | | | 400,771 | |
| | 490,000 | | | B- | | ION Trading Technologies Sarl, Senior Secured Notes, 5.750% due 5/15/28(a) | | | 463,469 | |
| | | | | | Match Group Holdings II LLC, Senior Unsecured Notes: | | | | |
| | 220,000 | | | BB | | 4.625% due 6/1/28(a) | | | 211,732 | |
| | 140,000 | | | BB | | 3.625% due 10/1/31(a) | | | 124,351 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 2,051,810 | |
| | | | | | | | | | |
|
| Iron/Steel — 1.3% | |
| | 219,000 | | | BB- | | ATI Inc., Senior Unsecured Notes, 4.875% due 10/1/29 | | | 212,650 | |
| | | | | | Cleveland-Cliffs Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 99,000 | | | Ba3(b) | | 4.625% due 3/1/29(a) | | | 93,189 | |
| | 244,000 | | | BB- | | 7.000% due 3/15/32(a) | | | 244,990 | |
| | 48,000 | | | B | | Senior Unsecured Notes, 6.250% due 10/1/40 | | | 42,328 | |
| | 350,000 | | | BB+ | | Commercial Metals Co., Senior Unsecured Notes, 3.875% due 2/15/31 | | | 317,842 | |
| | | | | | Mineral Resources Ltd., Senior Unsecured Notes: | | | | |
| | 268,000 | | | Ba3(b) | | 8.125% due 5/1/27(a) | | | 270,500 | |
| | 273,000 | | | Ba3(b) | | 9.250% due 10/1/28(a) | | | 288,751 | |
| | 239,000 | | | Ba3(b) | | 8.500% due 5/1/30(a) | | | 248,715 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 1,718,965 | |
| | | | | | | | | | |
|
| Leisure Time — 5.5% | |
| | | | | | Carnival Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 796,000 | | | BB | | 5.750% due 3/1/27(a) | | | 799,238 | |
| | 749,000 | | | BB | | 6.000% due 5/1/29(a) | | | 752,859 | |
See Notes to Financial Statements.
208
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Leisure Time — 5.5% — (continued) | |
| $ | 460,000 | | | BB | | 10.500% due 6/1/30(a) | | $ | 499,615 | |
| | 120,000 | | | BBB- | | Senior Secured Notes, 7.000% due 8/15/29(a) | | | 126,247 | |
| | 150,000 | | | BB | | Carnival Holdings Bermuda Ltd., Company Guaranteed Notes, 10.375% due 5/1/28(a) | | | 162,397 | |
| | | | | | NCL Corp., Ltd.: | | | | |
| | 327,000 | | | B | | Company Guaranteed Notes, 5.875% due 3/15/26(a) | | | 327,015 | |
| | | | | | Senior Secured Notes: | | | | |
| | 270,000 | | | BB- | | 5.875% due 2/15/27(a) | | | 270,814 | |
| | 270,000 | | | BB | | 8.375% due 2/1/28(a) | | | 285,167 | |
| | 230,000 | | | BB | | 8.125% due 1/15/29(a) | | | 246,176 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 814,000 | | | B | | 3.625% due 12/15/24(a) | | | 809,962 | |
| | 374,000 | | | B | | 7.750% due 2/15/29(a) | | | 399,361 | |
| | 180,000 | | | B | | NCL Finance Ltd., Company Guaranteed Notes, 6.125% due 3/15/28(a) | | | 182,230 | |
| | | | | | Royal Caribbean Cruises Ltd.: | | | | |
| | 490,000 | | | BB+ | | Company Guaranteed Notes, 7.250% due 1/15/30(a) | | | 518,409 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 110,000 | | | BB+ | | 5.500% due 4/1/28(a) | | | 110,915 | |
| | 290,000 | | | BB+ | | 6.250% due 3/15/32(a) | | | 299,643 | |
| | 485,000 | | | BB+ | | 6.000% due 2/1/33(a) | | | 496,970 | |
| | | | | | Viking Cruises Ltd.: | | | | |
| | 64,000 | | | B+ | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 63,971 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 379,000 | | | B+ | | 7.000% due 2/15/29(a) | | | 384,218 | |
| | 420,000 | | | B+ | | 9.125% due 7/15/31(a) | | | 461,092 | |
| | 200,000 | | | BB | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 196,326 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 7,392,625 | |
| | | | | | | | | | |
|
| Lodging — 1.8% | |
| | 420,000 | | | B- | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | | | 416,676 | |
| | 165,000 | | | B+ | | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, Company Guaranteed Notes, 4.875% due 7/1/31(a) | | | 147,986 | |
| | | | | | Melco Resorts Finance Ltd., Senior Unsecured Notes: | | | | |
| | 620,000 | | | BB- | | 5.375% due 12/4/29(a) | | | 567,986 | |
| | 200,000 | | | BB- | | 7.625% due 4/17/32(a) | | | 200,631 | |
| | 262,000 | | | B | | Station Casinos LLC, Company Guaranteed Notes, 6.625% due 3/15/32(a) | | | 267,423 | |
| | 325,000 | | | B+ | | Studio City Finance Ltd., Company Guaranteed Notes, 5.000% due 1/15/29(a) | | | 290,494 | |
| | | | | | Travel + Leisure Co., Senior Secured Notes: | | | | |
| | 245,000 | | | BB- | | 6.000% due 4/1/27 | | | 245,833 | |
| | 110,000 | | | BB- | | 4.500% due 12/1/29(a) | | | 102,630 | |
| | 200,000 | | | BB- | | Wynn Macau Ltd., Senior Unsecured Notes, 5.500% due 1/15/26(a) | | | 198,114 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 2,437,773 | |
| | | | | | | | | | |
|
| Machinery — Construction & Mining — 0.2% | |
| | 60,000 | | | NR | | Bloom Energy Corp., Senior Unsecured Notes, 3.000% due 6/1/29(a) | | | 54,210 | |
| | 240,000 | | | BB | | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | | | 230,495 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Construction & Mining | | | 284,705 | |
| | | | | | | | | | |
|
| Machinery — Diversified — 0.2% | |
| | 88,000 | | | BB | | ATS Corp., Company Guaranteed Notes, 4.125% due 12/15/28(a) | | | 82,434 | |
| | 150,000 | | | BB+ | | Esab Corp., Company Guaranteed Notes, 6.250% due 4/15/29(a) | | | 154,282 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 236,716 | |
| | | | | | | | | | |
|
| Media — 5.5% | |
| | 345,000 | | | BB+ | | Belo Corp., Company Guaranteed Notes, 7.750% due 6/1/27 | | | 355,391 | |
| | 565,000 | | | BB- | | Cable One Inc., Company Guaranteed Notes, 4.000% due 11/15/30(a) | | | 434,331 | |
See Notes to Financial Statements.
209
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 5.5% — (continued) | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| $ | 509,000 | | | BB- | | 6.375% due 9/1/29(a) | | $ | 502,911 | |
| | 160,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 139,584 | |
| | 680,000 | | | BB- | | 4.500% due 5/1/32 | | | 581,245 | |
| | 330,000 | | | BB- | | 4.500% due 6/1/33(a) | | | 275,913 | |
| | 170,000 | | | BBB- | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 3.700% due 4/1/51 | | | 108,210 | |
| | | | | | CSC Holdings LLC: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 210,000 | | | CCC+ | | 11.250% due 5/15/28(a) | | | 186,807 | |
| | 530,000 | | | CCC+ | | 11.750% due 1/31/29(a) | | | 468,329 | |
| | 200,000 | | | CCC+ | | 6.500% due 2/1/29(a) | | | 151,162 | |
| | 200,000 | | | CCC+ | | 4.500% due 11/15/31(a) | | | 133,131 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 980,000 | | | CCC- | | 5.750% due 1/15/30(a) | | | 392,264 | |
| | 200,000 | | | CCC- | | 4.625% due 12/1/30(a) | | | 78,703 | |
| | 150,000 | | | BB | | Directv Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, 5.875%
due 8/15/27(a) | | | 145,387 | |
| | | | | | DISH DBS Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 20,000 | | | CCC- | | 5.875% due 11/15/24 | | | 19,505 | |
| | 500,000 | | | CCC- | | 7.750% due 7/1/26 | | | 336,895 | |
| | 410,000 | | | CCC | | Senior Secured Notes, 5.750% due 12/1/28(a) | | | 315,486 | |
| | 65,000 | | | CC | | DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26 | | | 40,956 | |
| | 180,000 | | | B1(b) | | Gannett Holdings LLC, Senior Secured Notes, 6.000% due 11/1/26(a) | | | 180,014 | |
| | 230,000 | | | CCC+ | | Gray Television Inc., Company Guaranteed Notes, 5.375% due 11/15/31(a) | | | 131,980 | |
| | 170,000 | | | B- | | iHeartCommunications Inc., Senior Secured Notes, 5.250% due 8/15/27(a) | | | 106,509 | |
| | | | | | Paramount Global, Junior Subordinated Notes: | | | | |
| | 139,000 | | | BB- | | 6.250% (3-Month USD-LIBOR + 3.899%) due 2/28/57(c) | | | 120,125 | |
| | 222,000 | | | BB- | | 6.375% (5-Year CMT Index + 3.999%) due 3/30/62(c) | | | 203,142 | |
| | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | | |
| | 560,000 | | | BB | | 4.000% due 7/15/28(a) | | | 525,084 | |
| | 86,000 | | | BB | | 3.875% due 9/1/31(a) | | | 73,873 | |
| | 327,000 | | | BB- | | Sunrise FinCo I BV, Senior Secured Notes, 4.875% due 7/15/31(a) | | | 304,617 | |
| | 50,000 | | | BBB- | | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | | | 57,059 | |
| | 150,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 157,197 | |
| | | | | | Univision Communications Inc., Senior Secured Notes: | | | | |
| | 388,000 | | | B+ | | 6.625% due 6/1/27(a) | | | 384,398 | |
| | 120,000 | | | B+ | | 8.000% due 8/15/28(a) | | | 121,511 | |
| | 112,000 | | | B+ | | 7.375% due 6/30/30(a) | | | 107,584 | |
| | 207,000 | | | B- | | Virgin Media Finance PLC, Company Guaranteed Notes, 5.000% due 7/15/30(a) | | | 179,642 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 7,318,945 | |
| | | | | | | | | | |
|
| Metal Fabricate/Hardware — 0.3% | |
| | 90,000 | | | BB- | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 6.375% due 6/15/30(a) | | | 91,572 | |
| | 60,000 | | | B- | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 58,077 | |
| | 230,000 | | | B+ | | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(a) | | | 219,048 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 368,697 | |
| | | | | | | | | | |
|
| Mining — 1.5% | |
| | 700,000 | | | B | | First Quantum Minerals Ltd., Secured Notes, 9.375% due 3/1/29(a) | | | 746,118 | |
| | 450,000 | | | BB+ | | FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes, 4.375% due 4/1/31(a) | | | 413,260 | |
| | 320,000 | | | BBB- | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 313,505 | |
| | | | | | Hudbay Minerals Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B | | 4.500% due 4/1/26(a) | | | 39,546 | |
| | 482,000 | | | B | | 6.125% due 4/1/29(a) | | | 486,859 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,999,288 | |
| | | | | | | | | | |
See Notes to Financial Statements.
210
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Miscellaneous Manufacturers — 0.0%@ | |
| $ | 12,101 | | | WD(g) | | Anagram Holdings LLC/Anagram International Inc., Secured Notes, 10.000% due 8/15/26*(a)(i)(k) | | $ | — | |
| | | | | | | | | | |
|
| Oil & Gas — 6.9% | |
| | 200,000 | | | BBB- | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | | | 197,719 | |
| | 285,000 | | | BB- | | Baytex Energy Corp., Senior Unsecured Notes, 7.375% due 3/15/32(a) | | | 295,400 | |
| | 410,000 | | | B- | | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 406,305 | |
| | 110,000 | | | BB | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.500% due 2/1/26(a) | | | 110,095 | |
| | 310,000 | | | BB- | | Chord Energy Corp., Company Guaranteed Notes, 6.375% due 6/1/26(a) | | | 312,512 | |
| | | | | | Civitas Resources Inc., Company Guaranteed Notes: | | | | |
| | 125,000 | | | BB- | | 8.375% due 7/1/28(a) | | | 131,939 | |
| | 280,000 | | | BB- | | 8.750% due 7/1/31(a) | | | 302,502 | |
| | | | | | Comstock Resources Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | B | | 6.750% due 3/1/29(a) | | | 108,283 | |
| | 395,000 | | | B | | 5.875% due 1/15/30(a) | | | 373,765 | |
| | | | | | Crescent Energy Finance LLC, Company Guaranteed Notes: | | | | |
| | 217,000 | | | BB- | | 9.250% due 2/15/28(a) | | | 230,202 | |
| | 450,000 | | | BB- | | 7.625% due 4/1/32(a) | | | 464,409 | |
| | 140,000 | | | BB- | | 7.375% due 1/15/33(a) | | | 143,712 | |
| | | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | | | | |
| | 500,000 | | | BB+ | | 5.750% due 2/1/29(a) | | | 496,501 | |
| | 170,000 | | | BB+ | | 6.250% due 4/15/32(a) | | | 169,510 | |
| | 150,000 | | | BB+ | | 8.375% due 11/1/33(a) | | | 164,369 | |
| | 300,000 | | | BB- | | MEG Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | | | 298,150 | |
| | 348,000 | | | B- | | Nabors Industries Inc., Company Guaranteed Notes, 7.375% due 5/15/27(a) | | | 352,192 | |
| | 125,000 | | | CCC | | Nabors Industries Ltd., Company Guaranteed Notes, 7.500% due 1/15/28(a) | | | 123,278 | |
| | 120,000 | | | BB- | | Noble Finance II LLC, Company Guaranteed Notes, 8.000% due 4/15/30(a) | | | 124,677 | |
| | 240,000 | | | B+ | | Northern Oil & Gas Inc., Senior Unsecured Notes, 8.125% due 3/1/28(a) | | | 245,553 | |
| | 110,000 | | | BB+ | | Occidental Petroleum Corp., Senior Unsecured Notes, 8.875% due 7/15/30 | | | 129,825 | |
| | | | | | Permian Resources Operating LLC, Company Guaranteed Notes: | | | | |
| | 240,000 | | | BB | | 8.000% due 4/15/27(a) | | | 248,031 | |
| | 170,000 | | | BB | | 5.875% due 7/1/29(a) | | | 170,144 | |
| | 190,000 | | | BB | | 9.875% due 7/15/31(a) | | | 213,411 | |
| | 240,000 | | | BB | | 7.000% due 1/15/32(a) | | | 251,991 | |
| | 90,000 | | | BB | | 6.250% due 2/1/33(a) | | | 92,438 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB | | 7.375% due 1/17/27 | | | 41,802 | |
| | 20,000 | | | BB | | 5.750% due 2/1/29 | | | 20,228 | |
| | 400,000 | | | BB+ | | Range Resources Corp., Company Guaranteed Notes, 8.250% due 1/15/29 | | | 414,822 | |
| | 200,000 | | | B- | | Shelf Drilling Holdings Ltd., Senior Secured Notes, 9.625% due 4/15/29(a) | | | 188,519 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 195,000 | | | BB+ | | 5.375% due 2/1/29 | | | 192,660 | |
| | 540,000 | | | BB+ | | 4.750% due 2/1/32 | | | 512,081 | |
| | 529,000 | | | BB- | | Strathcona Resources Ltd., Senior Unsecured Notes, 6.875% due 8/1/26(a) | | | 532,276 | |
| | | | | | Talos Production Inc., Secured Notes: | | | | |
| | 55,000 | | | BB- | | 9.000% due 2/1/29(a) | | | 58,369 | |
| | 285,000 | | | BB- | | 9.375% due 2/1/31(a) | | | 303,881 | |
| | 338,000 | | | BB | | Valaris Ltd., Secured Notes, 8.375% due 4/30/30(a) | | | 352,882 | |
| | 425,000 | | | B | | Vital Energy Inc., Company Guaranteed Notes, 7.875% due 4/15/32(a) | | | 435,396 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 9,209,829 | |
| | | | | | | | | | |
|
| Oil & Gas Services — 0.6% | |
| | | | | | Archrock Partners LP/Archrock Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 278,000 | | | BB- | | 6.250% due 4/1/28(a) | | | 279,400 | |
| | 120,000 | | | BB- | | 6.625% due 9/1/32(a) | | | 121,704 | |
| | 320,000 | | | B+ | | Kodiak Gas Services LLC, Company Guaranteed Notes, 7.250% due 2/15/29(a) | | | 331,711 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 732,815 | |
| | | | | | | | | | |
See Notes to Financial Statements.
211
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Packaging & Containers — 1.8% | |
| $ | 200,000 | | | C | | ARD Finance SA, Senior Secured Notes, 6.500%
(6.500% cash or 7.250% PIK) due 6/30/27(a)(h) | | $ | 47,315 | |
| | | | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC: | | | | |
| | 210,000 | | | B | | Senior Secured Notes, 6.000% due 6/15/27(a) | | | 210,125 | |
| | 250,000 | | | CCC+ | | Senior Unsecured Notes, 4.000% due 9/1/29(a) | | | 216,093 | |
| | 230,000 | | | BB- | | Canpack SA/Canpack US LLC, Company Guaranteed Notes, 3.875% due 11/15/29(a) | | | 210,574 | |
| | 150,000 | | | BB- | | Cascades Inc./Cascades USA Inc., Company Guaranteed Notes, 5.375% due 1/15/28(a) | | | 146,638 | |
| | 440,000 | | | CCC+ | | Clydesdale Acquisition Holdings Inc., Company Guaranteed Notes, 8.750% due 4/15/30(a) | | | 439,369 | |
| | 249,000 | | | BB+ | | Crown Americas LLC, Company Guaranteed Notes, 5.250% due 4/1/30 | | | 249,080 | |
| | | | | | LABL Inc., Senior Secured Notes: | | | | |
| | 271,000 | | | B- | | 5.875% due 11/1/28(a) | | | 250,486 | |
| | 127,000 | | | B- | | 9.500% due 11/1/28(a) | | | 129,955 | |
| | 244,000 | | | B | | Mauser Packaging Solutions Holding Co., Senior Secured Notes, 7.875% due 8/15/26(a) | | | 247,904 | |
| | 287,000 | | | BB- | | Silgan Holdings Inc., Company Guaranteed Notes, 4.125% due 2/1/28 | | | 277,516 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,425,055 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 2.2% | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | 430,000 | | | CCC | | Company Guaranteed Notes, 5.250% due 1/30/30(a) | | | 215,551 | |
| | 50,000 | | | B- | | Senior Secured Notes, 6.125% due 2/1/27(a) | | | 42,745 | |
| | 367,000 | | | B+ | | Endo Finance Holdings Inc., Senior Secured Notes, 8.500% due 4/15/31(a) | | | 390,052 | |
| | | | | | HLF Financing Sarl LLC/Herbalife International Inc.: | | | | |
| | 515,000 | | | B | | Company Guaranteed Notes, 4.875% due 6/1/29(a) | | | 328,447 | |
| | 355,000 | | | B+ | | Senior Secured Notes, 12.250% due 4/15/29(a) | | | 355,303 | |
| | | | | | Organon & Co./Organon Foreign Debt Co.-Issuer BV: | | | | |
| | 200,000 | | | BB | | Senior Secured Notes, 4.125% due 4/30/28(a) | | | 191,344 | |
| | 204,000 | | | BB- | | Senior Unsecured Notes, 5.125% due 4/30/31(a) | | | 191,212 | |
| | 230,000 | | | D | | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27*(a)(f)(k) | | | 3,220 | |
| | 200,000 | | | BB- | | Teva Pharmaceutical Finance Co. LLC, Company Guaranteed Notes, 6.150% due 2/1/36 | | | 205,960 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 250,000 | | | BB- | | 5.125% due 5/9/29 | | | 247,781 | |
| | 400,000 | | | BB- | | 7.875% due 9/15/29 | | | 440,986 | |
| | 270,000 | | | BB- | | 8.125% due 9/15/31 | | | 309,390 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 2,921,991 | |
| | | | | | | | | | |
|
| Pipelines — 5.1% | |
| | 350,000 | | | B+ | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 7.250% due 7/15/32(a) | | | 367,335 | |
| | 200,000 | | | BB | | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(a) | | | 186,627 | |
| | 60,000 | | | BBB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | | | 66,507 | |
| | 295,000 | | | BB- | | Delek Logistics Partners LP/Delek Logistics Finance Corp., Company Guaranteed Notes, 8.625% due 3/15/29(a) | | | 310,272 | |
| | 90,000 | | | BB+ | | Energy Transfer LP, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 5.694%)(c)(d) | | | 89,516 | |
| | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | |
| | 27,000 | | | BBB- | | 7.500% due 6/1/27(a) | | | 27,848 | |
| | 48,000 | | | BBB- | | 5.500% due 7/15/28 | | | 48,360 | |
| | 254,000 | | | BBB- | | 7.500% due 6/1/30(a) | | | 277,385 | |
| | 310,000 | | | BBB- | | 6.500% due 7/15/48 | | | 320,389 | |
| | | | | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes: | | | | |
| | 481,000 | | | B | | 8.250% due 1/15/29 | | | 500,190 | |
| | 85,000 | | | B | | 7.875% due 5/15/32 | | | 87,270 | |
| | | | | | Harvest Midstream I LP, Senior Unsecured Notes: | | | | |
| | 430,000 | | | BB- | | 7.500% due 9/1/28(a) | | | 441,324 | |
| | 125,000 | | | BB- | | 7.500% due 5/15/32(a) | | | 131,494 | |
| | 250,000 | | | BB+ | | Hess Midstream Operations LP, Company Guaranteed Notes, 4.250% due 2/15/30(a) | | | 236,258 | |
See Notes to Financial Statements.
212
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 5.1% — (continued) | |
| | | | | | Howard Midstream Energy Partners LLC, Senior Unsecured Notes: | | | | |
| $ | 120,000 | | | B+ | | 8.875% due 7/15/28(a) | | $ | 128,025 | |
| | 450,000 | | | B+ | | 7.375% due 7/15/32(a) | | | 466,210 | |
| | 775,000 | | | B- | | ITT Holdings LLC, Senior Unsecured Notes, 6.500% due 8/1/29(a) | | | 731,617 | |
| | | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes: | | | | |
| | 59,000 | | | B+ | | 8.125% due 2/15/29(a) | | | 60,227 | |
| | 285,000 | | | B+ | | 8.375% due 2/15/32(a) | | | 293,565 | |
| | | | | | NuStar Logistics LP, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB+ | | 5.750% due 10/1/25 | | | 40,023 | |
| | 238,000 | | | BB+ | | 6.375% due 10/1/30 | | | 248,769 | |
| | 90,000 | | | B+ | | Summit Midstream Holdings LLC, Senior Secured Notes, 8.625% due 10/31/29(a) | | | 93,483 | |
| | 110,000 | | | BB- | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes, step bond to yield, 9.500% due 10/15/26(a) | | | 112,790 | |
| | 170,000 | | | B+ | | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, 6.000% due 12/31/30(a) | | | 162,182 | |
| | | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes: | | | | |
| | 264,000 | | | BB+ | | 3.875% due 8/15/29(a) | | | 249,749 | |
| | 310,000 | | | BB+ | | 6.250% due 1/15/30(a) | | | 322,595 | |
| | 180,000 | | | BB+ | | 4.125% due 8/15/31(a) | | | 166,950 | |
| | 110,000 | | | BB+ | | 3.875% due 11/1/33(a) | | | 97,894 | |
| | | | | | Venture Global LNG Inc., Senior Secured Notes: | | | | |
| | 150,000 | | | BB | | 7.000% due 1/15/30(a) | | | 153,471 | |
| | 370,000 | | | BB | | 9.875% due 2/1/32(a) | | | 411,296 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 6,829,621 | |
| | | | | | | | | | |
|
| Private Equity — 0.4% | |
| | | | | | HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes: | | | | |
| | 407,000 | | | BB+ | | 3.375% due 6/15/26(a) | | | 390,202 | |
| | 180,000 | | | BB+ | | 8.000% due 6/15/27(a) | | | 188,828 | |
| | | | | | | | | | |
| | | | | | Total Private Equity | | | 579,030 | |
| | | | | | | | | | |
|
| Real Estate — 1.3% | |
| | | | | | Cushman & Wakefield US Borrower LLC, Senior Secured Notes: | | | | |
| | 413,000 | | | BB- | | 6.750% due 5/15/28(a) | | | 419,287 | |
| | 416,000 | | | BB- | | 8.875% due 9/1/31(a) | | | 450,920 | |
| | 251,875 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, step bond to yield, 10.500% due 1/15/28(a) | | | 259,129 | |
| | 210,000 | | | BB | | Greystar Real Estate Partners LLC, Senior Secured Notes, 7.750% due 9/1/30(a) | | | 224,115 | |
| | | | | | Kennedy-Wilson Inc., Company Guaranteed Notes: | | | | |
| | 325,000 | | | B+ | | 4.750% due 3/1/29 | | | 293,820 | |
| | 41,000 | | | B+ | | 4.750% due 2/1/30 | | | 36,214 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 1,683,485 | |
| | | | | | | | | | |
|
| Real Estate Investment Trusts (REITs) — 2.4% | |
| | 803,000 | | | B+ | | Apollo Commercial Real Estate Finance Inc., Senior Secured Notes, 4.625% due 6/15/29(a) | | | 712,779 | |
| | | | | | Diversified Healthcare Trust: | | | | |
| | 132,000 | | | B | | Company Guaranteed Notes, 9.750% due 6/15/25 | | | 132,341 | |
| | 70,000 | | | CCC+ | | Senior Unsecured Notes, 4.750% due 2/15/28 | | | 61,580 | |
| | 290,000 | | | NR | | IIP Operating Partnership LP, Company Guaranteed Notes, 5.500% due 5/25/26 | | | 278,990 | |
| | 125,000 | | | BB- | | Iron Mountain Information Management Services Inc., Company Guaranteed Notes, 5.000% due 7/15/32(a) | | | 119,038 | |
| | | | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes: | | | | |
| | 305,000 | | | BB | | 4.250% due 2/1/27(a) | | | 296,279 | |
| | 86,000 | | | BB | | 4.750% due 6/15/29(a) | | | 82,945 | |
| | 340,000 | | | BB | | 7.000% due 7/15/31(a) | | | 353,862 | |
See Notes to Financial Statements.
213
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 2.4% — (continued) | |
| $ | 160,000 | | | B | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 3.500% due 3/15/31 | | $ | 109,405 | |
| | | | | | Service Properties Trust: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 336,000 | | | BB | | 5.500% due 12/15/27 | | | 316,381 | |
| | 395,000 | | | BB | | 8.375% due 6/15/29 | | | 391,541 | |
| | 90,000 | | | BB | | 8.875% due 6/15/32 | | | 84,816 | |
| | 60,000 | | | BB | | Senior Secured Notes, 8.625% due 11/15/31(a) | | | 64,240 | |
| | 130,000 | | | BB- | | Starwood Property Trust Inc., Senior Unsecured Notes, 7.250% due 4/1/29(a) | | | 135,482 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 3,139,679 | |
| | | | | | | | | | |
|
| Retail — 4.4% | |
| | 70,000 | | | BB+ | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | | | 69,808 | |
| | 160,000 | | | BB | | Bath & Body Works Inc., Company Guaranteed Notes, 6.625% due 10/1/30(a) | | | 162,135 | |
| | 90,000 | | | BB | | Beacon Roofing Supply Inc., Senior Secured Notes, 6.500% due 8/1/30(a) | | | 92,559 | |
| | 245,000 | | | BB- | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 245,235 | |
| | 524,000 | | | B- | | CEC Entertainment LLC, Senior Secured Notes, 6.750% due 5/1/26(a) | | | 522,734 | |
| | | | | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.: | | | | |
| | 390,000 | | | CCC+ | | Company Guaranteed Notes, 6.750% due 1/15/30(a) | | | 351,194 | |
| | 190,000 | | | B | | Senior Secured Notes, 4.625% due 1/15/29(a) | | | 177,859 | |
| | | | | | FirstCash Inc., Company Guaranteed Notes: | | | | |
| | 432,000 | | | BB | | 4.625% due 9/1/28(a) | | | 414,108 | |
| | 187,000 | | | BB | | 5.625% due 1/1/30(a) | | | 184,857 | |
| | 150,000 | | | BB | | 6.875% due 3/1/32(a) | | | 154,285 | |
| | 250,000 | | | BB | | Foot Locker Inc., Senior Unsecured Notes, 4.000% due 10/1/29(a) | | | 217,917 | |
| | 200,000 | | | B+ | | Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Unsecured Notes, 8.750% due 1/15/32(a) | | | 191,667 | |
| | 552,000 | | | BB | | Kohl’s Corp., Senior Unsecured Notes, 4.625% due 5/1/31 | | | 456,645 | |
| | 610,000 | | | CCC | | LBM Acquisition LLC, Company Guaranteed Notes, 6.250% due 1/15/29(a) | | | 552,411 | |
| | 310,000 | | | B- | | Michaels Cos Inc. (The), Senior Secured Notes, 5.250% due 5/1/28(a) | | | 243,725 | |
| | | | | | Murphy Oil USA Inc., Company Guaranteed Notes: | | | | |
| | 225,000 | | | BB+ | | 4.750% due 9/15/29 | | | 218,480 | |
| | 110,000 | | | BB+ | | 3.750% due 2/15/31(a) | | | 99,624 | |
| | 97,000 | | | B- | | NMG Holding Co., Inc./Neiman Marcus Group LLC, Senior Secured Notes, 7.125% due 4/1/26(a) | | | 98,281 | |
| | 495,000 | | | CCC | | Park River Holdings Inc., Senior Unsecured Notes, 6.750% due 8/1/29(a) | | | 419,505 | |
| | 140,000 | | | B | | Raising Cane’s Restaurants LLC, Senior Unsecured Notes, 9.375% due 5/1/29(a) | | | 151,280 | |
| | 220,000 | | | BB- | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 6.750% due 3/1/32 | | | 224,651 | |
| | 180,000 | | | B3(b) | | Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes, 8.500% due 11/28/25(a) | | | 181,672 | |
| | 225,000 | | | B | | Specialty Building Products Holdings LLC/SBP Finance Corp., Senior Secured Notes, 6.375% due 9/30/26(a) | | | 223,945 | |
| | 100,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | | | 91,843 | |
| | 90,000 | | | BB- | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(a) | | | 84,279 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 5,830,699 | |
| | | | | | | | | | |
| | |
| Semiconductors — 0.2% | | | | | |
| | 320,000 | | | BB- | | Entegris Inc., Company Guaranteed Notes, 5.950% due 6/15/30(a) | | | 324,528 | |
| | | | | | | | | | |
| | | |
| Software — 2.4% | | | | | | | | |
| | 120,000 | | | CCC | | AthenaHealth Group Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | | | 114,895 | |
| | 335,000 | | | B- | | Capstone Borrower Inc., Senior Secured Notes, 8.000% due 6/15/30(a) | | | 353,102 | |
| | 450,000 | | | B+ | | Central Parent Inc./CDK Global Inc., Senior Secured Notes, 7.250% due 6/15/29(a) | | | 452,583 | |
| | 104,000 | | | B+ | | Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., Senior Secured Notes, 8.000% due 6/15/29(a) | | | 107,462 | |
See Notes to Financial Statements.
214
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Software — 2.4% — (continued) | |
| | | | | | Cloud Software Group Inc.: | | | | |
| $ | 140,000 | | | B- | | Secured Notes, 9.000% due 9/30/29(a) | | $ | 141,015 | |
| | | | | | Senior Secured Notes: | | | | |
| | 355,000 | | | B | | 6.500% due 3/31/29(a) | | | 350,196 | |
| | 370,000 | | | B | | 8.250% due 6/30/32(a) | | | 387,633 | |
| | 170,000 | | | BB- | | Elastic NV, Senior Unsecured Notes, 4.125% due 7/15/29(a) | | | 158,497 | |
| | 450,000 | | | B | | Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured Notes, 4.625% due 5/1/28(a) | | | 413,370 | |
| | | | | | Open Text Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB | | 3.875% due 2/15/28(a) | | | 18,976 | |
| | 260,000 | | | BB | | 3.875% due 12/1/29(a) | | | 239,880 | |
| | 240,000 | | | BB | | Open Text Holdings Inc., Company Guaranteed Notes, 4.125% due 12/1/31(a) | | | 218,686 | |
| | 636,480 | | | B- | | Rackspace Finance LLC, Senior Secured Notes, 3.500% due 5/15/28(a) | | | 288,462 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 3,244,757 | |
| | | | | | | | | | |
|
| Telecommunications — 4.0% | |
| | | | | | Altice Financing SA, Senior Secured Notes: | | | | |
| | 474,000 | | | B- | | 5.000% due 1/15/28(a) | | | 381,296 | |
| | 407,000 | | | B- | | 5.750% due 8/15/29(a) | | | 314,125 | |
| | 500,000 | | | CCC- | | Altice France Holding SA, Senior Secured Notes, 10.500% due 5/15/27(a) | | | 198,366 | |
| | | | | | Altice France SA, Senior Secured Notes: | | | | |
| | 250,000 | | | CCC+ | | 8.125% due 2/1/27(a) | | | 201,354 | |
| | 250,000 | | | CCC+ | | 5.500% due 1/15/28(a) | | | 178,216 | |
| | 710,000 | | | CCC+ | | 5.125% due 7/15/29(a) | | | 496,235 | |
| | 246,000 | | | CCC+ | | 5.500% due 10/15/29(a) | | | 170,974 | |
| | 465,000 | | | B+ | | C&W Senior Finance Ltd., Senior Unsecured Notes, 6.875% due 9/15/27(a) | | | 458,264 | |
| | 170,000 | | | CCC+ | | CommScope LLC, Senior Secured Notes, 4.750% due 9/1/29(a) | | | 137,275 | |
| | 200,000 | | | CCC- | | CommScope Technologies LLC, Company Guaranteed Notes, 6.000% due 6/15/25(a) | | | 191,858 | |
| | 277,000 | | | B+ | | Connect Finco Sarl/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | | | 275,170 | |
| | | | | | Iliad Holding SASU, Senior Secured Notes: | | | | |
| | 345,000 | | | B+ | | 7.000% due 10/15/28(a) | | | 350,480 | |
| | 200,000 | | | B+ | | 8.500% due 4/15/31(a) | | | 212,153 | |
| | 180,000 | | | B | | Level 3 Financing Inc., Senior Secured Notes, 11.000% due 11/15/29(a) | | | 197,572 | |
| | 230,000 | | | BBB- | | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | | | 284,036 | |
| | 435,000 | | | D | | Telesat Canada/Telesat LLC, Senior Secured Notes, 4.875% due 6/1/27(a) | | | 197,991 | |
| | | | | | Viasat Inc.: | | | | |
| | 73,000 | | | BB- | | Senior Secured Notes, 5.625% due 4/15/27(a) | | | 69,348 | |
| | 607,000 | | | B- | | Senior Unsecured Notes, 7.500% due 5/30/31(a) | | | 462,838 | |
| | | | | | Vmed O2 UK Financing I PLC, Senior Secured Notes: | | | | |
| | 260,000 | | | B+ | | 4.750% due 7/15/31(a) | | | 228,396 | |
| | 270,000 | | | B+ | | 7.750% due 4/15/32(a) | | | 274,050 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 5,279,997 | |
| | | | | | | | | | |
|
| Transportation — 0.8% | |
| | 496,000 | | | BB | | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | | | 475,630 | |
| | 330,000 | | | CCC+ | | Carriage Purchaser Inc., Senior Unsecured Notes, 7.875% due 10/15/29(a) | | | 303,705 | |
| | 50,000 | | | BB | | RXO Inc., Company Guaranteed Notes, 7.500% due 11/15/27(a) | | | 51,858 | |
| | 184,000 | | | BB- | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 191,741 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 1,022,934 | |
| | | | | | | | | | |
| |
| Trucking & Leasing — 0.3% | | | |
| | 375,000 | | | BBB- | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month Term SOFR + 4.562%) due 6/15/45(a)(c) | | | 374,093 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $121,316,266) | | | 119,155,597 | |
| | | | | | | | | | |
See Notes to Financial Statements.
215
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 4.1% | | | |
| $ | 280,000 | | | BBB- | | ARES XLIV CLO Ltd., Series 2017-44A, Class CR, 8.963%
(3-Month Term SOFR + 3.662%) due 4/15/34(a)(c) | | $ | 280,908 | |
| | 250,000 | | | Baa3(b) | | Battalion CLO XI Ltd., Series 2017-11A, Class DR, 9.195%
(3-Month Term SOFR + 3.912%) due 4/24/34(a)(c) | | | 246,151 | |
| | 110,000 | | | NR | | Blueberry Park CLO Ltd., Series 2024-1A, Class D1, zero coupon (3-Month Term SOFR + 2.900%) due 10/20/37(a)(c) | | | 110,431 | |
| | 280,000 | | | Ba3(b) | | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 11.973% (3-Month Term SOFR + 6.672%) due 4/15/34(a)(c) | | | 272,635 | |
| | 250,000 | | | NR | | CarVal CLO XI C Ltd., Series 2024-3A, Class D1, zero coupon
(3-Month Term SOFR + 3.000%) due 10/20/37(a)(c) | | | 250,982 | |
| | 250,000 | | | Baa3(b) | | Dryden 49 Senior Loan Fund, Series 2017-49A, Class DR, 8.941% (3-Month Term SOFR + 3.662%) due 7/18/30(a)(c) | | | 249,380 | |
| | 300,000 | | | BBB- | | ICG US CLO Ltd., Series 2022-1A, Class DJ, 11.012%
(3-Month Term SOFR + 5.730%) due 7/20/35(a)(c) | | | 301,255 | |
| | 360,000 | | | BB- | | Madison Park Funding XXXV Ltd., Series 2019-35A, Class ER, 11.644% (3-Month Term SOFR + 6.362%) due 4/20/32(a)(c) | | | 361,962 | |
| | 250,000 | | | Baa3(b) | | Marble Point CLO XIV Ltd., Series 2018-2A, Class D, 9.074%
(3-Month Term SOFR + 3.792%) due 1/20/32(a)(c) | | | 242,202 | |
| | 280,000 | | | Baa3(b) | | Mountain View CLO IX Ltd., Series 2015-9A, Class CR, 8.683% (3-Month Term SOFR + 3.382%) due 7/15/31(a)(c) | | | 269,049 | |
| | 250,000 | | | BB- | | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 11.464% (3-Month Term SOFR + 6.182%) due 10/21/30(a)(c) | | | 250,705 | |
| | 250,000 | | | BBB- | | Neuberger Berman Loan Advisers CLO 28 Ltd., Series 2018-28A, Class D, 8.394% (3-Month Term SOFR + 3.112%) due 4/20/30(a)(c) | | | 250,983 | |
| | 150,000 | | | BBB- | | Oaktree CLO Ltd., Series 2022-2A, Class DR, 9.801%
(3-Month Term SOFR + 4.500%) due 7/15/33(a)(c) | | | 150,233 | |
| | 280,000 | | | Baa3(b) | | Ocean Trails CLO IX, Series 2020-9A, Class DR, 9.313%
(3-Month Term SOFR + 4.012%) due 10/15/34(a)(c) | | | 280,391 | |
| | 210,000 | | | BBB- | | Ocean Trails CLO V, Series 2014-5A, Class DRR, 9.013%
(3-Month Term SOFR + 3.712%) due 10/13/31(a)(c) | | | 204,016 | |
| | 180,000 | | | BBB- | | OHA Credit Funding 11 Ltd., Series 2022-11A, Class D1R, 8.056% (3-Month Term SOFR + 2.850%) due 7/19/37(a)(c) | | | 180,209 | |
| | 130,000 | | | BBB-(g) | | Palmer Square CLO Ltd., Series 2022-3A, Class D1R, 8.135%
(3-Month Term SOFR + 2.950%) due 7/20/37(a)(c) | | | 130,510 | |
| | 150,000 | | | Baa2(b) | | Palmer Square Loan Funding Ltd., Series 2022-3A, Class CR, 8.301% (3-Month Term SOFR + 3.000%) due 4/15/31(a)(c) | | | 150,274 | |
| | 230,000 | | | BB- | | Sculptor CLO XXVI Ltd., Series 26A, Class E, 12.794%
(3-Month Term SOFR + 7.512%) due 7/20/34(a)(c) | | | 225,901 | |
| | 160,000 | | | BBB- | | Symphony CLO 40 Ltd., Series 2023-40A, Class D, 10.301%
(3-Month Term SOFR + 5.000%) due 1/14/34(a)(c) | | | 160,941 | |
| | 250,000 | | | Ba3(b) | | Symphony CLO XX Ltd., Series 2018-20A, Class E, 11.838%
(3-Month Term SOFR + 6.552%) due 1/16/32(a)(c) | | | 247,118 | |
| | 300,000 | | | BBB- | | Trinitas CLO XXVI Ltd., Series 2023-26A, Class D, 9.782%
(3-Month Term SOFR + 4.500%) due 1/20/35(a)(c) | | | 302,806 | |
| | 350,000 | | | BB- | | Voya CLO Ltd., Series 2017-3A, Class DR, 12.494%
(3-Month Term SOFR + 7.212%) due 4/20/34(a)(c) | | | 351,909 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $5,457,288) | | | 5,470,951 | |
| | | | | | | | | | |
| |
| SENIOR LOANS — 2.4% | | | |
| | 49,083 | | | NR | | Acrisure LLC, (Cost — $49,141, acquired 6/20/24), 8.344% (3-Month CME Term SOFR + 3.000%) due 2/16/27(c)(e) | | | 49,055 | |
| | 360,705 | | | NR | | Arctic Canadian Diamond Co., Ltd., (Cost — $360,705, acquired 2/2/21), 30.609% (3-Month USD-LIBOR + 25.000%) due 12/31/24(c)(e)(f)(k) | | | 336,321 | |
| | 330,000 | | | NR | | Asurion LLC, (Cost — $328,384, acquired 7/24/24), 9.347% (1-Month CME Term SOFR + 4.000%) due 8/19/28(c)(e) | | | 327,436 | |
| | 109,725 | | | NR | | Clarios Global LP, (Cost — $110,525, acquired 7/16/24), 7.747% (1-Month CME Term SOFR + 2.500%) due 5/6/30(c)(e) | | | 110,194 | |
See Notes to Financial Statements.
216
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 2.4% — (continued) | |
| $ | 129,675 | | | NR | | Cotiviti Inc., (Cost — $129,073, acquired 2/22/24), 8.592% (1-Month CME Term SOFR + 3.250%) due 5/1/31(c)(e) | | $ | 129,918 | |
| | | | | | DCert Buyer Inc.: | | | | |
| | 315,975 | | | NR | | (Cost — $312,676, acquired 4/17/20), 9.247% (1-Month CME Term SOFR + 4.000%) due 10/16/26(c)(e) | | | 310,471 | |
| | 180,000 | | | NR | | (Cost — $179,748, acquired 2/16/21), 12.247% (1-Month CME Term SOFR + 7.000%) due 2/19/29(c)(e) | | | 156,741 | |
| | 80,000 | | | NR | | Deerfield Dakota Holding LLC, (Cost — $79,465, acquired 3/5/20), 12.346% (3-Month CME Term SOFR + 6.750%) due 4/7/28(c)(e) | | | 80,300 | |
| | 40,756 | | | NR | | EyeCare Partners LLC, (Cost — $28,611, acquired 5/8/24), 9.889% (3-Month CME Term SOFR + 4.610%) due 11/30/28(c)(e) | | | 25,880 | |
| | 140,000 | | | NR | | Genesee & Wyoming Inc., (Cost — $139,338, acquired 4/5/24), 7.335% (3-Month CME Term SOFR + 2.000%) due 4/10/31(c)(e) | | | 140,139 | |
| | 400,000 | | | NR | | Global Tel Link Corporation, (Cost — $384,219, acquired 7/29/24), 12.852% (1-Month CME Term SOFR + 7.500%) due 8/6/29(c)(e)(f)(k) | | | 388,000 | |
| | 150,000 | | | NR | | Gray Television Inc., (Cost — $144,294, acquired 5/23/24), 10.592% (1-Month CME Term SOFR + 5.250%) due 6/4/29(c)(e) | | | 143,897 | |
| | | | | | MRI Software LLC: | | | | |
| | 31,255 | | | NR | | (Cost — $30,862, acquired 3/20/23), 10.185% (3-Month CME Term SOFR + 4.750%) due 2/10/27(c)(e) | | | 30,962 | |
| | 17,976 | | | NR | | (Cost — $17,750, acquired 3/20/23), 10.935% (3-Month CME Term SOFR + 5.500%) due 2/10/27(c)(e) | | | 17,808 | |
| | 87,579 | | | NR | | Peraton Corp., (Cost — $87,362, acquired 2/23/21), 9.097% (1-Month CME Term SOFR + 3.750%) due 2/1/28(c)(e) | | | 85,900 | |
| | 49,461 | | | NR | | Redstone HoldCo 2 LP, (Cost — $49,204, acquired 4/16/21), 10.264% (3-Month CME Term SOFR + 4.750%) due 4/27/28(c)(e) | | | 39,322 | |
| | 240,000 | | | NR | | Sedgwick Claims Management Services Inc., (Cost — $226,658, acquired 2/24/23), 9.002% (3-Month CME Term SOFR + 3.750%) due 7/31/31(c)(e) | | | 240,600 | |
| | 229,425 | | | NR | | Station Casinos LLC, (Cost — $228,353, acquired 3/7/24), 7.497% (1-Month CME Term SOFR + 2.250%) due 3/14/31(c)(e) | | | 229,755 | |
| | 79,800 | | | NR | | United AirLines Inc., (Cost — $79,430, acquired 2/15/24), 8.033% (3-Month CME Term SOFR + 2.750%) due 2/22/31(c)(e) | | | 80,174 | |
| | 231,000 | | | NR | | Vericast Corp., (Cost — $220,694, acquired 8/9/21), due 6/16/26(e)(j) | | | 226,091 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $3,186,495) | | | 3,148,964 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
| |
| COMMON STOCKS — 0.2% | | | |
| |
| CONSUMER NON-CYCLICAL — 0.0%@ | | | |
|
| Pharmaceuticals — 0.0%@ | |
| | 1,182 | | | | | Endo Inc., (Cost — $114,733, acquired 5/31/22)*(e)(f)(k) | | | 31,914 | |
| | | | | | | | | | |
| | |
| ENERGY — 0.2% | | | | | |
| | |
| Oil & Gas — 0.2% | | | | | |
| | 1,156 | | | | | Chord Energy Corp | | | 171,585 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $209,647) | | | 203,499 | |
| | | | | | | | | | |
See Notes to Financial Statements.
217
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | | Value | |
| |
| SOVEREIGN BOND — 0.0%@ | | | |
|
| Argentina — 0.0%@ | |
| $ | 98,170 | | | CCC | | Provincia de Buenos Aires/Government Bonds, step bond to yield, 6.625% due 9/1/37(a) | | | | |
| | | | | | (Cost — $36,107) | | $ | 44,422 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $130,205,803) | | | 128,023,433 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 3.3% | |
|
| TIME DEPOSITS — 3.3% | |
| | 1,247,631 | | | | | ANZ National Bank — London, 4.680% due 9/3/24 | | | 1,247,631 | |
| | 3,190,066 | | | | | Citibank — New York, 4.680% due 9/3/24 | | | 3,190,066 | |
| | 139 | | | | | Skandinaviska Enskilda Banken AB — Stockholm, 4.680% due 9/3/24 | | | 139 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $4,437,836) | | | 4,437,836 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.4%
(Cost — $134,643,639) | | | 132,461,269 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.6% | | | 753,761 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 133,215,030 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $107,597,052 and represents 80.8% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2024, amounts to $3,180,878 and represents 2.4% of net assets. |
| (g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (h) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (i) | Security is currently in default. |
| (j) | This position represents an unsettled loan commitment at year end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (k) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| # | Security that used significant unobservable inputs to determine fair value. At August 31, 2024, the Fund held Level 3 securities with a total value of $0, representing 0.0% of net assets. |
At August 31, 2024, for High Yield Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized (Depreciation) | |
High Yield Fund | | $ | 135,387,952 | | | $ | 3,994,986 | | | $ | (6,921,669) | | | $ | (2,926,683) | |
See Notes to Financial Statements.
218
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CME | | — Chicago Mercantile Exchange |
| CMT | | — Constant Maturity Treasury Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| PLC | | — Public Limited Company |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 90.1 | % |
Collateralized Mortgage Obligations | | | 4.0 | |
Senior Loans | | | 2.4 | |
Common Stocks | | | 0.1 | |
Sovereign Bond | | | 0.0 | * |
Short-Term Investments | | | 3.4 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
| | |
Currency Abbreviations used in this schedule: |
| USD | | — United States Dollar |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
219
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| MORTGAGE-BACKED SECURITIES — 32.7% | |
|
| FHLMC — 6.7% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| $ | 27,516 | | | | | 3.500% due 10/1/39 | | $ | 26,295 | |
| | 374,484 | | | | | 2.500% due 12/1/51 | | | 319,598 | |
| | 86,989 | | | | | 2.000% due 3/1/52 | | | 71,461 | |
| | 1,194,742 | | | | | 4.500% due 9/1/52 — 10/1/52 | | | 1,164,331 | |
| | 7,320,477 | | | | | 6.500% due 1/1/53 — 3/1/54 | | | 7,544,257 | |
| | 2,883,414 | | | | | 5.000% due 3/1/53 — 6/1/54 | | | 2,866,079 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 11,992,021 | |
| | | | | | | | | | |
|
| FNMA — 23.2% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 6,319,602 | | | | | 4.500% due 9/1/34 — 5/1/53 | | | 6,156,238 | |
| | 307,922 | | | | | 3.500% due 10/1/34 — 6/1/50 | | | 288,274 | |
| | 10,587 | | | | | 6.709% (1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 10,980 | |
| | 9,163,342 | | | | | 6.500% due 8/1/37 — 3/1/54 | | | 9,439,333 | |
| | 409,193 | | | | | 3.000% due 10/1/49 — 5/1/51 | | | 364,399 | |
| | 830,673 | | | | | 4.000% due 6/1/50 — 2/1/54 | | | 789,286 | |
| | 431,677 | | | | | 2.000% due 3/1/52 | | | 354,794 | |
| | 7,683,297 | | | | | 6.000% due 4/1/53 — 7/1/53 | | | 7,829,705 | |
| | 1,379,150 | | | | | 5.000% due 5/1/53 — 6/1/54 | | | 1,369,740 | |
| | 570,499 | | | | | 5.500% due 9/1/53 | | | 575,329 | |
| | 3,000,000 | | | | | 4.500% due 9/1/54(b) | | | 2,921,136 | |
| | 5,800,000 | | | | | 5.000% due 9/1/54(b) | | | 5,759,237 | |
| | 100,000 | | | | | 6.500% due 9/1/54(b) | | | 102,927 | |
| | 6,300,000 | | | | | 3.000% due 10/1/54(b) | | | 5,598,717 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 41,560,095 | |
| | | | | | | | | | |
|
| GNMA — 2.8% | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 1,415 | | | | | 6.000% due 9/20/38 | | | 1,444 | |
| | 4,850,934 | | | | | 3.000% due 11/20/51 — 6/20/52 | | | 4,391,238 | |
| | 700,000 | | | | | 2.500% due 9/20/54(b) | | | 612,091 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 5,004,773 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $58,065,795) | | | 58,556,889 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 29.3% | |
|
| Australia — 0.0%@ | |
| | | | | | Australia Government Bonds: | | | | |
| | 100,000 | AUD | | | | 2.500% due 5/21/30 | | | 63,574 | |
| | 50,000 | AUD | | | | 1.750% due 6/21/51 | | | 19,435 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 83,009 | |
| | | | | | | | | | |
| | | |
| Brazil — 0.9% | | | | | | | | |
| | 9,700,000 | BRL | | | | Brazil Letras do Tesouro Nacional, zero coupon due 4/1/25 | | | 1,618,304 | |
| | | | | | | | | | |
|
| Canada — 0.9% | |
| | 1,700,000 | CAD | | | | Canadian Government Bonds, 3.250% due 12/1/33 | | | 1,272,743 | |
| | 27,900,000 | INR | | | | Export Development Canada, 7.130% due 3/11/29(c) | | | 336,044 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 1,608,787 | |
| | | | | | | | | | |
See Notes to Financial Statements.
220
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | | |
| Chile — 0.1% | | | | | | | | |
| $ | 200,000 | | | | | Chile Government International Bonds, 4.850% due 1/22/29 | | $ | 203,302 | |
| | | | | | | | | | |
| | | |
| China — 0.4% | | | | | | | | |
| | 4,090,000 | CNY | | | | China Government Bonds, 3.190% due 4/15/53 | | | 673,323 | |
| | | | | | | | | | |
|
| France — 3.7% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 1,500,000 | EUR | | | | 3.000% due 5/25/33(c) | | | 1,673,986 | |
| | 900,000 | EUR | | | | 3.250% due 5/25/45(c) | | | 976,605 | |
| | 3,300,000 | EUR | | | | 2.000% due 5/25/48(c) | | | 2,816,551 | |
| | 1,650,000 | EUR | | | | 0.750% due 5/25/52(c) | | | 960,006 | |
| | 500,000 | EUR | | | | 0.500% due 5/25/72(c) | | | 204,287 | |
| | | | | | | | | | |
| | | | | | Total France | | | 6,631,435 | |
| | | | | | | | | | |
|
| Hungary — 0.1% | |
| | 200,000 | | | | | Hungary Government International Bonds, 6.250% due 9/22/32(c) | | | 214,230 | |
| | | | | | | | | | |
|
| Israel — 0.8% | |
| | 2,000,000 | ILS | | | | Israel Government Bonds — Fixed, 1.000% due 3/31/30 | | | 457,448 | |
| | | | | | Israel Government International Bonds: | | | | |
| | 300,000 | | | | | 5.375% due 3/12/29 | | | 301,850 | |
| | 300,000 | | | | | 5.500% due 3/12/34 | | | 298,763 | |
| | 300,000 | | | | | 5.750% due 3/12/54 | | | 286,040 | |
| | | | | | | | | | |
| | | | | | Total Israel | | | 1,344,101 | |
| | | | | | | | | | |
|
| Italy — 1.0% | |
| | 400,000 | | | | | Cassa Depositi e Prestiti SpA, 5.750% due 5/5/26(c) | | | 404,019 | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 500,000 | EUR | | | | zero coupon due 4/1/26 | | | 528,812 | |
| | 200,000 | EUR | | | | 3.850% due 9/15/26 | | | 225,573 | |
| | 400,000 | GBP | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 545,113 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 1,703,517 | |
| | | | | | | | | | |
|
| Japan — 8.6% | |
| | 50,000,000 | JPY | | | | Japan Government Five Year Bonds, 0.400% due 6/20/29 | | | 340,528 | |
| | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | | | 1.700% due 9/20/44 | | | 1,424,581 | |
| | 280,000,000 | JPY | | | | 1.400% due 9/20/45 | | | 1,781,254 | |
| | 152,000,000 | JPY | | | | 0.500% due 9/20/46 | | | 787,746 | |
| | 98,000,000 | JPY | | | | 0.700% due 12/20/48 | | | 510,752 | |
| | 360,000,000 | JPY | | | | 0.500% due 3/20/49 | | | 1,771,372 | |
| | 125,000,000 | JPY | | | | 0.700% due 6/20/51 | | | 621,346 | |
| | 210,000,000 | JPY | | | | 0.700% due 12/20/51 | | | 1,034,593 | |
| | 223,000,000 | JPY | | | | 1.800% due 3/20/54 | | | 1,424,051 | |
| | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 131,000,000 | JPY | | | | 1.200% due 9/20/35 | | | 911,265 | |
| | 200,000,000 | JPY | | | | 1.000% due 12/20/35 | | | 1,359,616 | |
| | 20,000,000 | JPY | | | | 0.400% due 3/20/36 | | | 126,697 | |
| | 170,000,000 | JPY | | | | 1.500% due 9/20/43 | | | 1,126,025 | |
| | 110,000,000 | JPY | | | | Japan Government Two Year Bonds, 0.100% due 1/1/26 | | | 750,639 | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 160,844,460 | JPY | | | | 0.100% due 3/10/28 | | | 1,153,945 | |
| | 51,071,140 | JPY | | | | 0.100% due 3/10/29 | | | 368,926 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 15,493,336 | |
| | | | | | | | | | |
See Notes to Financial Statements.
221
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | | |
| Malaysia — 1.6% | | | | | | | | |
| | 12,523,000 | MYR | | | | Malaysia Government Bonds, 3.519% due 4/20/28 | | $ | 2,908,011 | |
| | | | | | | | | | |
| | | |
| Poland — 0.5% | | | | | | | | |
| | | | | | Poland Government International Bonds: | | | | |
| $ | 300,000 | | | | | 4.625% due 3/18/29 | | | 304,878 | |
| | 200,000 | EUR | | | | 3.875% due 2/14/33 | | | 231,071 | |
| | 100,000 | | | | | 4.875% due 10/4/33 | | | 101,465 | |
| | 100,000 | | | | | 5.125% due 9/18/34 | | | 102,327 | |
| | 100,000 | EUR | | | | 4.250% due 2/14/43 | | | 115,920 | |
| | 100,000 | | | | | 5.500% due 4/4/53 | | | 102,606 | |
| | | | | | | | | | |
| | | | | | Total Poland | | | 958,267 | |
| | | | | | | | | | |
| | | |
| Romania — 0.7% | | | | | | | | |
| | | | | | Romanian Government International Bonds: | | | | |
| | 600,000 | EUR | | | | 6.625% due 9/27/29 | | | 719,915 | |
| | 200,000 | EUR | | | | 1.750% due 7/13/30(c) | | | 185,914 | |
| | 100,000 | EUR | | | | 2.000% due 4/14/33(c) | | | 84,684 | |
| | 50,000 | EUR | | | | 2.750% due 4/14/41(c) | | | 36,846 | |
| | 200,000 | EUR | | | | 2.875% due 4/13/42(c) | | | 147,141 | |
| | | | | | | | | | |
| | | | | | Total Romania | | | 1,174,500 | |
| | | | | | | | | | |
|
| Saudi Arabia — 0.6% | |
| | | | | | Saudi Government International Bonds: | | | | |
| | 400,000 | | | | | 4.750% due 1/18/28(c) | | | 404,413 | |
| | 700,000 | | | | | 4.875% due 7/18/33(c) | | | 706,803 | |
| | | | | | | | | | |
| | | | | | Total Saudi Arabia | | | 1,111,216 | |
| | | | | | | | | | |
|
| Serbia — 0.1% | |
| | | | | | Serbia International Bonds: | | | | |
| | 100,000 | EUR | | | | 1.000% due 9/23/28(c) | | | 96,829 | |
| | 100,000 | EUR | | | | 1.650% due 3/3/33(c) | | | 85,772 | |
| | | | | | | | | | |
| | | | | | Total Serbia | | | 182,601 | |
| | | | | | | | | | |
|
| Singapore — 0.8% | |
| | | | | | Singapore Government Bonds: | | | | |
| | 47,000 | SGD | | | | 2.375% due 7/1/39 | | | 34,262 | |
| | 1,649,000 | SGD | | | | 3.250% due 6/1/54 | | | 1,377,631 | |
| | | | | | | | | | |
| | | | | | Total Singapore | | | 1,411,893 | |
| | | | | | | | | | |
|
| South Korea — 0.6% | |
| | 1,445,900,000 | KRW | | | | Korea Treasury Bonds, 3.750% due 12/10/33 | | | 1,143,699 | |
| | | | | | | | | | |
|
| Spain — 5.0% | |
| | 100,000 | EUR | | | | Autonomous Community of Catalonia, 4.220% due 4/26/35 | | | 113,422 | |
| | | | | | Spain Government Bonds: | | | | |
| | 1,400,000 | EUR | | | | 2.800% due 5/31/26 | | | 1,551,436 | |
| | 400,000 | EUR | | | | 1.450% due 10/31/27(c) | | | 427,467 | |
| | 1,500,000 | EUR | | | | 1.400% due 7/30/28(c) | | | 1,586,281 | |
| | 450,000 | EUR | | | | 1.450% due 4/30/29(c) | | | 472,224 | |
| | 400,000 | EUR | | | | 0.700% due 4/30/32(c) | | | 377,726 | |
| | 2,100,000 | EUR | | | | 2.550% due 10/31/32(c) | | | 2,263,061 | |
| | 400,000 | EUR | | | | 1.850% due 7/30/35(c) | | | 390,325 | |
| | 500,000 | EUR | | | | 1.900% due 10/31/52(c) | | | 380,494 | |
| | 850,000 | EUR | | | | 3.450% due 7/30/66(c) | | | 872,012 | |
| | 800,000 | EUR | | | | 1.450% due 10/31/71(c) | | | 446,236 | |
| | | | | | | | | | |
| | | | | | Total Spain | | | 8,880,684 | |
| | | | | | | | | | |
See Notes to Financial Statements.
222
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| United Kingdom — 2.9% | |
| | | | | | United Kingdom Gilts: | | | | |
| | 1,350,000 | GBP | | | | 3.250% due 1/22/44 | | $ | 1,502,459 | |
| | 700,000 | GBP | | | | 3.500% due 1/22/45 | | | 802,956 | |
| | 500,000 | GBP | | | | 1.750% due 1/22/49 | | | 393,808 | |
| | 1,400,000 | GBP | | | | 0.625% due 10/22/50 | | | 766,366 | |
| | 1,300,000 | GBP | | | | 1.250% due 7/31/51 | | | 853,336 | |
| | 500,000 | GBP | | | | 4.375% due 7/31/54 | | | 640,849 | |
| | 500,000 | GBP | | | | 1.125% due 10/22/73 | | | 247,107 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 5,206,881 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $64,698,472) | | | 52,551,096 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% | |
| $ | 59,281 | | | | | ACAS CLO Ltd., Series 2015-1A, Class AR3, 6.431%
(3-Month Term SOFR + 1.152%) due 10/18/28(a)(c) | | | 59,307 | |
| | 302,703 | | | | | ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 6.292%
(1-Month Term SOFR + 1.014%) due 8/25/35(a) | | | 297,665 | |
| | 198,504 | GBP | | | | ALBA PLC, Series 2007-1, Class A3, 5.413%
(Sterling Overnight Index Average + 0.289%) due 3/17/39(a) | | | 255,522 | |
| | 91,153 | | | | | AMMC CLO 21 Ltd., Series 2017-21A, Class A, 6.753%
(3-Month Term SOFR + 1.512%) due 11/2/30(a)(c) | | | 91,278 | |
| | 73,146 | | | | | Apidos CLO XXVI, Series 2017-26A, Class A1AR, 6.441%
(3-Month Term SOFR + 1.162%) due 7/18/29(a)(c) | | | 73,196 | |
| | 400,000 | | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, 6.804%
(30-Day Average SOFR + 1.450%) due 1/15/37(a)(c) | | | 397,355 | |
| | 343,154 | | | | | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 5.872%
(1-Month Term SOFR + 0.594%) due 5/25/35(a) | | | 310,640 | |
| | 500,000 | | | | | Bain Capital Credit CLO Ltd., Series 2020-2A, Class ARR, zero coupon
(1.240% - 3-Month Term SOFR) due 7/19/34(c)(d) | | | 500,375 | |
| | 4,970 | | | | | Banc of America Funding Trust, Series 2006-A, Class 1A1, 6.020% due 2/20/36(a) | | | 4,707 | |
| | 134,593 | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 5.842%
(1-Month Term SOFR + 0.564%) due 3/25/37(a)(c) | | | 133,624 | |
| | 331,050 | | | | | BDS Ltd., Series 2021-FL10, Class A, 6.806%
(1-Month Term SOFR + 1.464%) due 12/16/36(a)(c) | | | 330,122 | |
| | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 1,559 | | | | | Series 2003-5, Class 1A2, 5.410% due 8/25/33(a) | | | 1,496 | |
| | 1,952 | | | | | Series 2003-7, Class 6A, 5.943% due 10/25/33(a) | | | 1,874 | |
| | 7,238 | | | | | Series 2004-2, Class 22A, 6.997% due 5/25/34(a) | | | 6,882 | |
| | 1,459 | | | | | Series 2004-2, Class 23A, 4.000% due 5/25/34(a) | | | 1,301 | |
| | 29,089 | | | | | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 5.376% due 1/26/36(a) | | | 21,591 | |
| | 383,431 | | | | | BIG Commercial Mortgage Trust, Series 2022-BIG, Class A, 6.679%
(1-Month Term SOFR + 1.342%) due 2/15/39(a)(c) | | | 378,409 | |
| | 498,070 | | | | | BlueMountain CLO Ltd., Series 2016-3A, Class A1R2, 6.318%
(3-Month Term SOFR + 1.200%) due 11/15/30(a)(c) | | | 498,486 | |
| | 299,903 | EUR | | | | BNPP AM Euro CLO DAC, Series 2019-1A, Class AR, 4.508%
(3-Month EURIBOR + 0.820%) due 7/22/32(a)(c) | | | 330,521 | |
| | 208,600 | EUR | | | | Cairn CLO VII DAC, Series 2016-7A, Class A1R, 4.306%
(3-Month EURIBOR + 0.670%) due 1/31/30(a)(c) | | | 230,276 | |
| | 247,372 | EUR | | | | Cairn CLO X DAC, Series 2018-10A, Class AR, 4.465%
(3-Month EURIBOR + 0.780%) due 10/15/31(a)(c) | | | 273,154 | |
| | 190,419 | | | | | CARLYLE US CLO Ltd., Series 2017-1A, Class A1R, 6.544%
(3-Month Term SOFR + 1.262%) due 4/20/31(a)(c) | | | 190,592 | |
| | 597,237 | | | | | CarVal CLO I Ltd., Series 2018-1A, Class AR, 6.516%
(3-Month Term SOFR + 1.230%) due 7/16/31(a)(c) | | | 598,133 | |
See Notes to Financial Statements.
223
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| $ | 206,910 | | | | | CIFC Funding Ltd., Series 2017-4A, Class A1R, 6.495%
(3-Month Term SOFR + 1.212%) due 10/24/30(a)(c) | | $ | 207,071 | |
| | | | | | Countrywide Alternative Loan Trust: | | | | |
| | 3,220 | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 2,451 | |
| | 16,780 | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 8,266 | |
| | 33,200 | | | | | Series 2007-11T1, Class A12, 5.742% (1-Month Term SOFR + 0.464%) due 5/25/37(a) | | | 10,086 | |
| | 25,504 | | | | | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | | | 11,694 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 230,345 | | | | | Series 2007-9, Class 2A4, 5.642% (1-Month Term SOFR + 0.364%) due 2/25/36(a) | | | 219,915 | |
| | 36,780 | | | | | Series 2007-12, Class 1A1, 6.132% (1-Month Term SOFR + 0.854%) due 8/25/47(a) | | | 35,638 | |
| | 274,740 | | | | | Series 2007-13, Class 1A, 6.232% (1-Month Term SOFR + 0.954%) due 10/25/47(a) | | | 268,143 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 35,210 | | | | | Series 2005-2, Class 1A1, 6.032% (1-Month Term SOFR + 0.754%) due 3/25/35(a) | | | 31,718 | |
| | 2,054 | | | | | Series 2005-3, Class 2A1, 5.972% (1-Month Term SOFR + 0.694%) due 4/25/35(a) | | | 1,906 | |
| | 36,488 | | | | | Series 2005-9, Class 1A3, 5.852% (1-Month Term SOFR + 0.574%) due 5/25/35(a) | | | 30,836 | |
| | 11,757 | | | | | Series 2005-11, Class 3A1, 3.776% due 4/25/35(a) | | | 8,705 | |
| | 6,299 | | | | | Series 2005-HYB9, Class 3A2A, 7.884% (1-Year Term SOFR + 2.465%) due 2/20/36(a) | | | 5,368 | |
| | 494,403 | | | | | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | | | 222,955 | |
| | 92,009 | | | | | Series 2007-19, Class 2A1, 6.500% due 11/25/47 | | | 47,359 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 34,334 | | | | | Series 2007-5R, Class A5, 6.500% due 7/26/36 | | | 8,222 | |
| | 75,620 | | | | | Series 2021-INV1, Class A3, 2.500% due 7/25/56(a)(c) | | | 62,951 | |
| | 125,313 | | | | | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 6.184% due 12/25/36 | | | 21,792 | |
| | 269,714 | EUR | | | | CVC Cordatus Loan Fund XI DAC, Series 11A, Class AR, 4.335%
(3-Month EURIBOR + 0.650%) due 10/15/31(a)(c) | | | 297,140 | |
| | 495,377 | EUR | | | | CVC Cordatus Opportunity Loan Fund DAC, Series 1A, Class A, 4.922%
(3-Month EURIBOR + 1.380%) due 8/15/33(a)(c) | | | 550,016 | |
| | 359,188 | | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 6.142% (1-Month Term SOFR + 0.864%) due 10/25/47(a) | | | 280,768 | |
| | 282,192 | EUR | | | | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR, 4.345%
(3-Month EURIBOR + 0.660%) due 4/15/33(a)(c) | | | 310,606 | |
| | 324,691 | | | | | Dryden 55 CLO Ltd., Series 2018-55A, Class A1, 6.583%
(3-Month Term SOFR + 1.282%) due 4/15/31(a)(c) | | | 324,993 | |
| | 61,800 | | | | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 6.543%
(3-Month Term SOFR + 1.242%) due 4/15/28(a)(c) | | | 61,843 | |
| | 92,630 | | | | | Elevation CLO Ltd., Series 2017-8A, Class A1R2, 6.496%
(3-Month Term SOFR + 1.212%) due 10/25/30(a)(c) | | | 92,723 | |
| | 307,765 | | | | | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 6.442%
(1-Month Term SOFR + 1.164%) due 5/25/37(a)(c) | | | 303,873 | |
| | 400,000 | | | | | Elmwood CLO VII Ltd., Series 2020-4A, Class AR, 6.916%
(3-Month Term SOFR + 1.630%) due 1/17/34(a)(c) | | | 400,497 | |
| | 44,862 | GBP | | | | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 5.394%
(Sterling Overnight Index Average + 0.269%) due 6/15/44(a) | | | 58,560 | |
| | 175,345 | GBP | | | | Eurosail-UK PLC, Series 2007-4X, Class A3, 6.204%
(Sterling Overnight Index Average + 1.069%) due 6/13/45(a) | | | 229,537 | |
| | 359,845 | | | | | Extended Stay America Trust, Series 2021-ESH, Class A, 6.531%
(1-Month Term SOFR + 1.194%) due 7/15/38(a)(c) | | | 358,593 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 5,384 | | | | | Series 2391, Class FJ, 5.968% (30-Day Average SOFR + 0.614%) due 4/15/28(a) | | | 5,373 | |
| | 17,239 | | | | | Series 2614, Class SJ, 4.625% (19.348% - 2.750% x 30-Day Average SOFR) due 5/15/33(d) | | | 19,042 | |
| | 60,353 | | | | | Series 4579, Class FD, 5.800% (30-Day Average SOFR + 0.464%) due 1/15/38(a) | | | 60,197 | |
| | 60,353 | | | | | Series 4579, Class SD, 0.828% due 1/15/38(a)(e) | | | 3,972 | |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Structured Pass-Through Certificates: | | | | |
| $ | 8,826 | | | | | Series T-35, Class A, 5.743% (30-Day Average SOFR + 0.394%) due 9/25/31(a) | | $ | 9,064 | |
| | 15,667 | | | | | Series T-62, Class 1A1, 6.362% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 14,183 | |
| | 3,483 | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 3,496 | |
| | 21,308 | | | | | Federal National Mortgage Association (FNMA), REMIC Trust, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 22,147 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 3,500 | | | | | Series 2003-34, Class A1, 6.000% due 4/25/43 | | | 3,536 | |
| | 3,916 | | | | | Series 2006-48, Class TF, 5.863% (30-Day Average SOFR + 0.514%) due 6/25/36(a) | | | 3,870 | |
| | 43,402 | | | | | Series 2009-104, Class FA, 6.263% (30-Day Average SOFR + 0.914%) due 12/25/39(a) | | | 43,521 | |
| | 231,848 | | | | | FORT CRE Issuer LLC, Series 2022-FL3, Class A, 7.200%
(30-Day Average SOFR + 1.850%) due 2/23/39(a)(c) | | | 227,642 | |
| | 164,201 | | | | | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, 6.533%
(3-Month Term SOFR + 1.232%) due 10/15/30(a)(c) | | | 164,321 | |
| | 456,829 | | | | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R, 6.653%
(3-Month Term SOFR + 1.352%) due 7/15/31(a)(c) | | | 456,943 | |
| | 842,290 | | | | | GCAT Trust, Series 2023-NQM4, Class A1, 4.250% due 5/25/67(a)(c) | | | 800,513 | |
| | 10,092 | | | | | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 4.260% due 11/19/35(a) | | | 8,649 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 131,557 | | | | | Series 2016-H15, Class FA, 6.246% (1-Month Term SOFR + 0.914%) due 7/20/66(a) | | | 131,592 | |
| | 3,561 | | | | | Series 2017-121, Class PE, 3.000% due 7/20/46 | | | 3,464 | |
| | 499,497 | | | | | Series 2024-H07, Class JF, 6.143% (30-Day Average SOFR + 0.790%) due 4/20/74(a) | | | 502,191 | |
| | 777,430 | | | | | GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ4, Class A4, 2.500% due 9/25/52(a)(c) | | | 645,146 | |
| | | | | | GS Mortgage-Backed Securities Trust: | | | | |
| | 79,484 | | | | | Series 2021-GR3, Class A2, 2.500% due 4/25/52(a)(c) | | | 66,285 | |
| | 80,143 | | | | | Series 2021-INV1, Class A2, 2.500% due 12/25/51(a)(c) | | | 66,790 | |
| | | | | | GSR Mortgage Loan Trust: | | | | |
| | 1,402 | | | | | Series 2003-1, Class A2, 6.750% (1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 1,401 | |
| | 29,771 | | | | | Series 2005-AR7, Class 2A1, 5.052% due 11/25/35(a) | | | 28,662 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 9,074 | | | | | Series 2005-2, Class 2A1A, 5.896% (1-Month Term SOFR + 0.554%) due 5/19/35(a) | | | 8,646 | |
| | 14,687 | | | | | Series 2005-3, Class 2A1A, 5.936% (1-Month Term SOFR + 0.594%) due 6/19/35(a) | | | 14,212 | |
| | 40,883 | | | | | Series 2006-SB1, Class A1A, 6.012% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | | | 35,282 | |
| | 59,127 | | | | | Series 2007-1, Class 2A1A, 5.716% (1-Month Term SOFR + 0.374%) due 3/19/37(a) | | | 53,827 | |
| | 500,000 | EUR | | | | Hayfin Emerald CLO XII DAC, Series 12-A, Class A, 5.425%
(3-Month EURIBOR + 1.740%) due 1/25/37(a)(c) | | | 557,377 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 1,858 | | | | | Series 2003-A2, Class 3A1, 5.620% due 11/25/33(a) | | | 1,764 | |
| | 421 | | | | | Series 2005-A1, Class 6T1, 5.742% due 2/25/35(a) | | | 395 | |
| | 322,361 | | | | | Series 2021-10, Class A3, 2.500% due 12/25/51(a)(c) | | | 268,314 | |
| | 945,998 | | | | | Series 2021-INV4, Class A2, 3.000% due 1/25/52(a)(c) | | | 820,041 | |
| | 798,712 | | | | | Series 2021-INV8, Class A2, 3.000% due 5/25/52(a)(c) | | | 693,413 | |
| | 588,384 | | | | | Series 2022-INV1, Class A3, 3.000% due 3/25/52(a)(c) | | | 509,690 | |
| | 775,433 | | | | | Series 2022-LTV2, Class A3, 3.500% due 9/25/52(a)(c) | | | 696,167 | |
| | 281,666 | GBP | | | | Ludgate Funding PLC, Series 2007-1, Class A2A, 5.364%
(Sterling Overnight Index Average + 0.279%) due 1/1/61(a) | | | 361,393 | |
| | 300,000 | | | | | Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.130% due 9/10/39(c) | | | 274,882 | |
| | 56,910 | | | | | Marble Point CLO X Ltd., Series 2017-1A, Class AR, 6.603%
(3-Month Term SOFR + 1.302%) due 10/15/30(a)(c) | | | 56,961 | |
| | 1,710 | | | | | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 6.688% due 2/25/33(a) | | | 1,608 | |
| | 34,020 | | | | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 6.301%
(1-Month Term SOFR + 0.964%) due 7/15/36(a)(c) | | | 33,869 | |
See Notes to Financial Statements.
225
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| | | | | | MFA Trust: | | | | |
| $ | 105,969 | | | | | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(a)(c) | | $ | 100,165 | |
| | 429,552 | | | | | Series 2023-NQM4, Class A1, step bond to yield, 6.105% due 12/25/68(c) | | | 433,114 | |
| | 900,000 | | | | | Neuberger Berman Loan Advisers NBLA CLO 53 Ltd., Series 2023-53A, Class A, 6.873% (3-Month Term SOFR + 1.590%) due 10/24/32(a)(c) | | | 903,453 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 147,478 | | | | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(c) | | | 140,843 | |
| | 158,919 | | | | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(c) | | | 151,290 | |
| | 358,265 | GBP | | | | Newgate Funding PLC, Series 2007-1X, Class A3, 5.259%
(Sterling Overnight Index Average + 0.279%) due 12/1/50(a) | | | 459,067 | |
| | 400,000 | | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 5.932%
(1-Month Term SOFR + 0.654%) due 5/25/36(a) | | | 383,761 | |
| | 400,000 | | | | | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 6.546%
(1-Month Term SOFR + 1.209%) due 11/15/38(a)(c) | | | 385,862 | |
| | 995,440 | | | | | OBX Trust, Series 2024-HYB1, Class A1, 3.593% due 3/25/53(a)(c) | | | 976,966 | |
| | 300,000 | | | | | One New York Plaza Trust, Series 2020-1NYP, Class A, 6.401%
(1-Month Term SOFR + 1.064%) due 1/15/36(a)(c) | | | 286,193 | |
| | 51,308 | | | | | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 5.532%
(1-Month Term SOFR + 0.254%) due 3/25/37(a) | | | 46,356 | |
| | 438,204 | | | | | OZLM IX Ltd., Series 2014-9A, Class A1A4, 6.482%
(3-Month Term SOFR + 1.200%) due 10/20/31(a)(c) | | | 438,467 | |
| | 401,260 | EUR | | | | Palmer Square European Loan Funding DAC, Series 2023-3A, Class A, 5.042%
(3-Month EURIBOR + 1.500%) due 5/15/33(a)(c) | | | 445,859 | |
| | 257,006 | | | | | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(c) | | | 254,913 | |
| | 445,052 | | | | | PRKCM Trust, Series 2023-AFC4, Class A1, step bond to yield, 7.225% due 11/25/58(c) | | | 456,632 | |
| | 450,741 | | | | | PRPM Trust, Series 2023-NQM3, Class A1, step bond to yield, 6.221% due 11/25/68(c) | | | 454,956 | |
| | | | | | RALI Trust: | | | | |
| | 70,086 | | | | | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 | | | 54,725 | |
| | 40,937 | | | | | Series 2007-QO2, Class A1, 5.542% (1-Month Term SOFR + 0.264%) due 2/25/47(a) | | | 14,247 | |
| | | | | | Residential Asset Securitization Trust: | | | | |
| | 13,321 | | | | | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 4,840 | |
| | 36,677 | | | | | Series 2006-R1, Class A2, 5.792% (1-Month Term SOFR + 0.514%) due 1/25/46(a) | | | 9,975 | |
| | 138,128 | GBP | | | | ResLoC UK PLC, Series 2007-1X, Class A3B, 5.404%
(Sterling Overnight Index Average + 0.279%) due 12/15/43(a) | | | 177,522 | |
| | 704,321 | GBP | | | | Ripon Mortgages PLC, Series 1RA, Class A, 5.680%
(Sterling Overnight Index Average + 0.700%) due 8/28/56(a)(c) | | | 925,312 | |
| | | | | | RMAC Securities No 1 PLC: | | | | |
| | 262,901 | GBP | | | | Series 2006-NS3X, Class A2A, 5.406%
(Sterling Overnight Index Average + 0.269%) due 6/12/44(a) | | | 337,693 | |
| | 138,918 | GBP | | | | Series 2006-NS1X, Class A2A, 5.406%
(Sterling Overnight Index Average + 0.269%) due 6/12/44(a) | | | 178,983 | |
| | 600,000 | EUR | | | | Rockford Tower Europe CLO DAC, Series 2018-1A, Class AR, 5.075%
(3-Month EURIBOR + 1.370%) due 4/24/37(a)(c) | | | 665,066 | |
| | 270,959 | EUR | | | | Shamrock Residential DAC, Series 2022-1, Class A, 4.458%
(1-Month EURIBOR + 0.850%) due 1/24/61(a) | | | 300,140 | |
| | 144,625 | | | | | Sound Point CLO XVII, Series 2017-3A, Class A1R, 6.524%
(3-Month Term SOFR + 1.242%) due 10/20/30(a)(c) | | | 144,737 | |
| | 906,914 | | | | | Soundview Home Loan Trust, Series 2006-3, Class A4, 5.892%
(1-Month Term SOFR + 0.614%) due 11/25/36(a) | | | 849,020 | |
| | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 1,547 | | | | | Series 2004-1, Class 4A1, 7.227% due 2/25/34(a) | | | 1,491 | |
| | 652 | | | | | Series 2004-4, Class 3A2, 6.793% due 4/25/34(a) | | | 649 | |
| | 19,014 | | | | | Series 2004-19, Class 2A1, 6.562%
(1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | | | 17,304 | |
See Notes to Financial Statements.
226
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| $ | 18,971 | | | | | Series 2005-AR2, Class 2A1, 5.852% (1-Month Term SOFR + 0.574%) due 5/25/45(a) | | $ | 16,780 | |
| | 20,766 | | | | | Series 2005-AR8, Class A1A, 5.952% (1-Month Term SOFR + 0.674%) due 2/25/36(a) | | | 17,287 | |
| | 16,168 | | | | | Series 2006-AR5, Class 1A1, 5.812% (1-Month Term SOFR + 0.534%) due 5/25/36(a) | | | 10,725 | |
| | 90,558 | | | | | Series 2007-AR4, Class A3, 5.832% (1-Month Term SOFR + 0.554%) due 9/25/47(a) | | | 79,539 | |
| | 50,872 | | | | | Series 2007-AR6, Class A1, 6.662%
(1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 42,179 | |
| | 43,137 | | | | | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 5.672%
(1-Month Term SOFR + 0.394%) due 1/25/36(a)(c) | | | 35,503 | |
| | 900,000 | | | | | Symphony CLO 39 Ltd., Series 2023-39A, Class A, 6.875%
(3-Month Term SOFR + 1.590%) due 4/25/34(a)(c) | | | 900,739 | |
| | 349,307 | | | | | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR, 6.643%
(3-Month Term SOFR + 1.342%) due 7/15/31(a)(c) | | | 349,463 | |
| | 470,974 | GBP | | | | Towd Point Mortgage Funding Granite 6 PLC, Series 2024-GR6A, Class A1, 5.952%
(Sterling Overnight Index Average + 0.925%) due 7/20/53(a)(c) | | | 619,983 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 481,169 | | | | | Series 2019-4, Class A1, 2.900% due 10/25/59(a)(c) | | | 458,388 | |
| | 119,183 | | | | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(c) | | | 113,419 | |
| | 2,388 | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., 6.259%
(3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(c) | | | 2,388 | |
| | 84,456 | | | | | UWM Mortgage Trust, Series 2021-INV5, Class A12, 3.000% due 1/25/52(a)(c) | | | 73,106 | |
| | 400,000 | | | | | Venture 38 CLO Ltd., Series 2019-38A, Class A1R, 6.677%
(3-Month Term SOFR + 1.422%) due 7/30/32(a)(c) | | | 400,421 | |
| | 52,036 | | | | | Vibrant CLO VII Ltd., Series 2017-7A, Class A1R, 6.584%
(3-Month Term SOFR + 1.302%) due 9/15/30(a)(c) | | | 52,081 | |
| | 125,532 | | | | | Voya CLO Ltd., Series 2017-1A, Class A1R, 6.497%
(3-Month Term SOFR + 1.212%) due 4/17/30(a)(c) | | | 125,664 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 3,691 | | | | | Series 2002-AR9, Class 1A, 6.562%
(1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | | | 3,528 | |
| | 1,042 | | | | | Series 2003-AR5, Class A7, 6.286% due 6/25/33(a) | | | 1,044 | |
| | 37,457 | | | | | Series 2003-AR9, Class 2A, 6.809% due 9/25/33(a) | | | 36,308 | |
| | 90,897 | | | | | Series 2004-AR1, Class A, 6.013% due 3/25/34(a) | | | 90,617 | |
| | 11,683 | | | | | Series 2005-AR13, Class A1A1, 5.972% (1-Month Term SOFR + 0.694%) due 10/25/45(a) | | | 11,424 | |
| | 20,231 | | | | | Series 2006-AR10, Class 2A1, 4.443% due 9/25/36(a) | | | 17,134 | |
| | 31,511 | | | | | Series 2006-AR13, Class 2A, 6.662%
(1-Year Treasury Average Rate + 1.500%) due 10/25/46(a) | | | 28,872 | |
| | 14,684 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR5, Class 3A, 6.102% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 9,045 | |
| | 38,596 | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 6.268% due 12/25/32(a) | | | 38,224 | |
| | 179,939 | | | | | Wind River CLO Ltd., Series 2014-1A, Class ARR, 6.591%
(3-Month Term SOFR + 1.312%) due 7/18/31(a)(c) | | | 180,085 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $32,292,268) | | | 30,854,119 | |
| | | | | | | | | | |
| |
| CORPORATE BONDS & NOTES — 9.5% | | | |
| |
| Belgium — 0.1% | | | |
| | 200,000 | | | | | KBC Group NV, Senior Unsecured Notes, 5.796%
(1-Year CMT Index + 2.100%) due 1/19/29(a)(c) | | | 205,934 | |
| | | | | | | | | | |
| | |
| | Canada — 1.0% | | | | | | |
| | 100,000 | EUR | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28 | | | 107,778 | |
| | | | | | Royal Bank of Canada: | | | | |
| | 500,000 | | | | | Covered Notes, 4.851% due 12/14/26(c) | | | 507,194 | |
| | 400,000 | | | | | Senior Unsecured Notes, 4.969% (SOFR + 1.100%) due 8/2/30(a) | | | 406,920 | |
See Notes to Financial Statements.
227
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | | Security | | Value | |
| |
| Canada — 1.0% — (continued) | | | |
| $ | 700,000 | | | | | | | Toronto-Dominion Bank (The), Covered Notes, 4.814% due 7/16/27(c) | | $ | 712,668 | |
| | | | | | | | | | | | |
| | | | | | | | Total Canada | | | 1,734,560 | |
| | | | | | | | | | | | |
| |
| Cayman Islands — 0.1% | | | |
| | 200,000 | | | | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | 199,677 | |
| | | | | | | | | | | | |
| |
| Denmark — 0.7% | | | |
| | | | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 31,857 | DKK | | | | | | 1.000% due 10/1/50 | | | 3,626 | |
| | 464,066 | DKK | | | | | | 1.500% due 10/1/53 | | | 56,533 | |
| | 185,285 | DKK | | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.500% due 10/1/53 | | | 22,527 | |
| | | | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 4,000,000 | DKK | | | | | | 1.000% due 1/1/25 | | | 587,841 | |
| | 4,100,000 | DKK | | | | | | 1.000% due 4/1/25 | | | 599,487 | |
| | | | | | | | | | | | |
| | | | | | | | Total Denmark | | | 1,270,014 | |
| | | | | | | | | | | | |
| | |
| France — 0.6% | | | | | | |
| | 400,000 | | | | | | | BPCE SA, Senior Non-Preferred Notes, 6.612% (SOFR + 1.980%) due 10/19/27(a)(c) | | | 413,312 | |
| | | | | | | | Societe Generale SA, Senior Non-Preferred Notes: | | | | |
| | 300,000 | | | | | | | 2.889% (1-Year CMT Index + 1.300%) due 6/9/32(a)(c) | | | 255,725 | |
| | 400,000 | | | | | | | 3.337% (1-Year CMT Index + 1.600%) due 1/21/33(a)(c) | | | 347,504 | |
| | | | | | | | | | | | |
| | | | | | | | Total France | | | 1,016,541 | |
| | | | | | | | | | | | |
| |
| | Germany — 0.4% | | | | |
| | | | | | | | Deutsche Bank AG, Senior Non-Preferred Notes: | | | | |
| | 200,000 | EUR | | | | | | 1.625% due 1/20/27 | | | 212,106 | |
| | 400,000 | | | | | | | 2.552% (SOFR + 1.318%) due 1/7/28(a) | | | 378,308 | |
| | 200,000 | EUR | | | | | | 1.750% (2.050% - 3-Month EURIBOR) due 11/19/30(d) | | | 199,402 | |
| | | | | | | | | | | | |
| | | | | | | | Total Germany | | | 789,816 | |
| | | | | | | | | | | | |
| | | |
| | Italy — 0.2% | | | | | | | | | | | |
| | | | | | | | Banca Monte dei Paschi di Siena SpA: | | | | |
| | 100,000 | EUR | | | | | | Senior Preferred Notes, 2.625% due 4/28/25 | | | 109,653 | |
| | 100,000 | EUR | | | | | | Covered Notes, 0.875% due 10/8/26 | | | 105,647 | |
| | 100,000 | EUR | | | | | | Nexi SpA, Senior Unsecured Notes, 2.125% due 4/30/29 | | | 103,459 | |
| | | | | | | | | | | | |
| | | | | | | | Total Italy | | | 318,759 | |
| | | | | | | | | | | | |
| | | |
| | Japan — 0.2% | | | | | | | | | | | |
| | 200,000 | | | | | | | Nomura Holdings Inc., Senior Unsecured Notes, 2.329% due 1/22/27 | | | 189,009 | |
| | 200,000 | | | | | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 5.200% due 3/7/29(c) | | | 205,572 | |
| | | | | | | | | | | | |
| | | | | | | | Total Japan | | | 394,581 | |
| | | | | | | | | | | | |
| |
| | Netherlands — 0.2% | | | | |
| | 400,000 | | | | | | | ABN AMRO Bank NV, Senior Non-Preferred Notes, 6.575%
(1-Year CMT Index + 1.550%) due 10/13/26(a)(c) | | | 406,582 | |
| | | | | | | | | | | | |
| | | |
| | Qatar — 0.1% | | | | | | | | | | | |
| | 200,000 | | | | | | | QatarEnergy, Senior Unsecured Notes, 2.250% due 7/12/31(c) | | | 174,780 | |
| | | | | | | | | | | | |
| |
| | Switzerland — 0.8% | | | | |
| | | | | | | | UBS Group AG, Senior Unsecured Notes: | | | | |
| | 250,000 | | | | | | | 4.282% due 1/9/28(c) | | | 245,950 | |
| | 250,000 | | | | | | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 242,337 | |
| | 250,000 | EUR | | | | | | 7.750% (1-Year EURIBOR ICE Swap Rate + 4.950%) due 3/1/29(a) | | | 314,523 | |
| | 600,000 | | | | | | | 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) | | | 651,401 | |
| | | | | | | | | | | | |
| | | | | | | | Total Switzerland | | | 1,454,211 | |
| | | | | | | | | | | | |
| |
| | United Kingdom — 2.1% | | | | |
| | | | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | | | 6.496% (SOFR + 1.880%) due 9/13/27(a) | | | 826,675 | |
See Notes to Financial Statements.
228
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | | Security | | Value | |
| |
| United Kingdom — 2.1% — (continued) | | | |
| $ | 400,000 | EUR | | | | | | 4.918% (EUR Swap Rate + 1.750%) due 8/8/30(a) | | $ | 466,563 | |
| | 200,000 | | | | | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.041%
(3-Month Term SOFR + 1.808%) due 3/13/28(a) | | | 196,527 | |
| | 100,000 | GBP | | | | | | John Lewis PLC, Senior Unsecured Notes, 6.125% due 1/21/25 | | | 131,558 | |
| | 300,000 | | | | | | | Lloyds Banking Group PLC, Senior Unsecured Notes, 5.721%
(1-Year CMT Index + 1.070%) due 6/5/30(a) | | | 311,387 | |
| | 300,000 | | | | | | | Nationwide Building Society, Senior Non-Preferred Notes, 2.972%
(SOFR + 1.290%) due 2/16/28(a)(c) | | | 287,206 | |
| | 500,000 | | | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 6.534%
(SOFR + 2.600%) due 1/10/29(a) | | | 524,424 | |
| | 900,000 | | | | | | | Standard Chartered PLC, Senior Unsecured Notes, 6.750%
(1-Year CMT Index + 1.850%) due 2/8/28(a)(c) | | | 938,292 | |
| | | | | | | | | | | | |
| | | | | | | | Total United Kingdom | | | 3,682,632 | |
| | | | | | | | | | | | |
| |
| | United States — 3.0% | | | | |
| | 300,000 | | | | | | | Athene Global Funding, Senior Secured Notes, 5.516% due 3/25/27(c) | | | 305,986 | |
| | | | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | |
| | 500,000 | | | | | | | 5.202% (SOFR + 1.630%) due 4/25/29(a) | | | 510,934 | |
| | 700,000 | | | | | | | 1.898% (SOFR + 1.530%) due 7/23/31(a) | | | 599,507 | |
| | 150,000 | | | | | | | GA Global Funding Trust, Secured Notes, 2.250% due 1/6/27(c) | | | 141,815 | |
| | 100,000 | | | | | | | Goldman Sachs Bank USA, Senior Unsecured Notes, 5.283%
(SOFR + 0.777%) due 3/18/27(a) | | | 100,793 | |
| | | | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | | | 6.484% (SOFR + 1.770%) due 10/24/29(a) | | | 427,106 | |
| | 600,000 | | | | | | | 5.727% (SOFR + 1.265%) due 4/25/30(a) | | | 625,507 | |
| | 500,000 | | | | | | | 5.851% (SOFR + 1.552%) due 4/25/35(a) | | | 528,439 | |
| | 400,000 | | | | | | | 5.330% (SOFR + 1.550%) due 7/23/35(a) | | | 407,948 | |
| | 1,300,000 | | | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 5/25/49*(f)(g) | | | 975 | |
| | 200,000 | | | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes, 4.400% due 3/1/32 | | | 190,355 | |
| | 200,000 | | | | | | | PacifiCorp, 1st Mortgage Notes, 5.300% due 2/15/31 | | | 205,204 | |
| | | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | | | 4.875% due 2/13/29 | | | 203,403 | |
| | 200,000 | | | | | | | 5.250% due 2/13/34 | | | 204,701 | |
| | 100,000 | | | | | | | Principal Life Global Funding II, Secured Notes, 1.375% due 1/10/25(c) | | | 98,708 | |
| | | | | | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | | | 3.908% (SOFR + 1.320%) due 4/25/26(a) | | | 198,308 | |
| | 600,000 | | | | | | | 4.808% (SOFR + 1.980%) due 7/25/28(a) | | | 603,479 | |
| | | | | | | | | | | | |
| | | | | | | | Total United States | | | 5,353,168 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $16,937,927) | | | 17,001,255 | |
| | | | | | | | | | | | |
| |
| U.S. GOVERNMENT OBLIGATIONS — 8.1% | | | |
| | | | | | | | U.S. Treasury Bonds: | | | | |
| | 200,000 | | | | | | | 1.375% due 11/15/40(h) | | | 133,168 | |
| | 1,100,000 | | | | | | | 1.875% due 2/15/41(h) | | | 792,988 | |
| | 400,000 | | | | | | | 3.375% due 11/15/48 | | | 341,867 | |
| | 400,000 | | | | | | | 2.250% due 8/15/49 | | | 273,109 | |
| | 200,000 | | | | | | | 4.750% due 11/15/53(h)(n) | | | 218,473 | |
| | 300,000 | | | | | | | 4.250% due 2/15/54 | | | 302,019 | |
| | 333,348 | | | | | | | U.S. Treasury Inflation Indexed Bonds, 2.375% due 1/15/25 | | | 330,158 | |
| | | | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 1,989,675 | | | | | | | 0.250% due 1/15/25 | | | 1,955,731 | |
| | 1,337,941 | | | | | | | 0.125% due 4/15/25 | | | 1,307,263 | |
| | 264,966 | | | | | | | 0.375% due 7/15/25(h) | | | 259,650 | |
| | 1,273,690 | | | | | | | 0.500% due 1/15/28(i) | | | 1,221,159 | |
| | 1,054,980 | | | | | | | 0.125% due 7/15/31 | | | 952,689 | |
See Notes to Financial Statements.
229
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | | Security | | Value | |
| |
| U.S. GOVERNMENT OBLIGATIONS — 8.1% — (continued) | | | |
| $ | 793,366 | | | | | | | 0.125% due 1/15/32 | | $ | 707,227 | |
| | 108,132 | | | | | | | 0.625% due 7/15/32(h) | | | 99,839 | |
| | 1,476,608 | | | | | | | 1.125% due 1/15/33 | | | 1,405,413 | |
| | | | | | | | U.S. Treasury Notes: | | | | |
| | 600,000 | | | | | | | 2.875% due 4/30/25(j) | | | 593,171 | |
| | 200,000 | | | | | | | 4.000% due 2/29/28 | | | 201,496 | |
| | 1,700,000 | | | | | | | 4.500% due 11/15/33(h)(k) | | | 1,778,492 | |
| | 1,200,000 | | | | | | | 4.000% due 2/15/34(l) | | | 1,208,767 | |
| | 400,000 | | | | | | | 4.375% due 5/15/34 | | | 414,812 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $14,981,519) | | | 14,497,491 | |
| | | | | | | | | | | | |
| |
| | ASSET-BACKED SECURITIES — 0.1% | | | | |
| |
| | Student Loans — 0.1% | | | | |
| | 20,300 | | | | | | | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 6.571%
(90-Day Average SOFR + 1.212%) due 4/25/38(a) | | | 20,219 | |
| | 248,357 | | | | | | | SMB Private Education Loan Trust, Series 2022-B, Class A1B, 6.804%
(30-Day Average SOFR + 1.450%) due 2/16/55(a)(c) | | | 249,531 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $268,657) | | | 269,750 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $187,244,638) | | | 173,730,600 | |
| | | | | | | | | | | | |
| |
| | SHORT-TERM INVESTMENTS — 10.1% | | | | |
| |
| | COMMERCIAL PAPERS — 0.4% | | | | |
| | 450,000 | | | | | | | Bell Canada, 5.524% due 9/5/24(c)(m) | | | 449,725 | |
| | 250,000 | | | | | | | Jones Lang LaSalle Inc., 5.573% due 9/9/24(c)(m) | | | 249,692 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $699,417) | | | 699,417 | |
| | | | | | | | | | | | |
| |
| | SOVEREIGN BONDS — 7.3% | | | | |
| | | |
| | Japan — 7.3% | | | | | | | | | | | |
| | | | | | | | Japan Treasury Discount Bills: | | | | |
| | 410,000,000 | JPY | | | | | | (0.008)% due 9/24/24(m) | | | 2,805,108 | |
| | 520,000,000 | JPY | | | | | | 0.009% due 9/30/24(m) | | | 3,557,598 | |
| | 240,000,000 | JPY | | | | | | (0.003)% due 10/7/24(m) | | | 1,641,992 | |
| | 560,000,000 | JPY | | | | | | 0.009% due 10/15/24(m) | | | 3,831,244 | |
| | 100,000,000 | JPY | | | | | | 0.196% due 5/20/25(m) | | | 683,188 | |
| | 60,000,000 | JPY | | | | | | 0.136% due 6/20/25(m) | | | 410,048 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SOVEREIGN BONDS
(Cost — $11,864,354) | | | 12,929,178 | |
| | | | | | | | | | | | |
| |
| | TIME DEPOSITS — 2.2% | | | | |
| | | | | | | | ANZ National Bank — Hong Kong: | | | | |
| | 15,201 | AUD | | | | | | 2.920% due 9/2/24 | | | 10,288 | |
| | 211,026 | NZD | | | | | | 3.410% due 9/2/24 | | | 131,923 | |
| | | | | | | | BBH — New York: | | | | |
| | 481,630 | DKK | | | | | | 2.250% due 9/2/24 | | | 71,378 | |
| | 6,942 | SEK | | | | | | 2.250% due 9/2/24 | | | 676 | |
| | 24,607 | NOK | | | | | | 3.260% due 9/2/24 | | | 2,320 | |
| | 190,850 | CAD | | | | | | 3.330% due 9/3/24 | | | 141,606 | |
| | 28,846 | ZAR | | | | | | 6.220% due 9/2/24 | | | 1,618 | |
| | 1,253 | CHF | | | | | | BNP Paribas — Paris, 0.500% due 9/2/24 | | | 1,475 | |
| | 422,949 | EUR | | | | | | Citibank — London, 2.570% due 9/2/24 | | | 467,549 | |
| | 452 | HKD | | | | | | HSBC Bank — Hong Kong, 2.020% due 9/2/24 | | | 58 | |
| | 197,508 | SGD | | | | | | HSBC Bank — Singapore, 2.260% due 9/2/24 | | | 151,347 | |
See Notes to Financial Statements.
230
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | | Security | | Value | |
| |
| TIME DEPOSITS — 2.2% — (continued) | | | |
| $ | 1,809,276 | | | | | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | $ | 1,809,276 | |
| | | | | | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 144,300 | GBP | | | | | | 3.910% due 9/2/24 | | | 189,516 | |
| | 846,073 | | | | | | | 4.680% due 9/3/24 | | | 846,073 | |
| | 20,609,762 | JPY | | | | | | Sumitomo Mitsui Banking Corp. — Tokyo, 0.010% due 9/2/24 | | | 141,003 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL TIME DEPOSITS
(Cost — $3,966,106) | | | 3,966,106 | |
| | | | | | | | | | | | |
| |
| | U.S. GOVERNMENT OBLIGATIONS — 0.2% | | | | |
| | | | | | | | U.S. Treasury Bills: | | | | |
| | 376,000 | | | | | | | 5.199% due 10/31/24(h)(m) | | | 372,784 | |
| | 61,000 | | | | | | | 5.267% due 10/17/24(h)(m) | | | 60,595 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $433,379) | | | 433,379 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $16,963,256) | | | 18,028,080 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $204,207,894) | | | 191,758,680 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS — 0.1%
(Cost — $163,187) | | | 187,978 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS — 107.1%
(Cost — $204,371,081) | | | 191,946,658 | |
| | | | | | | | | | | | |
| | | | | | | | Liabilities in Excess of Other Assets — (7.1)% | | | (12,631,490 | ) |
| | | | | | | | | | | | |
| | | | | | | | TOTAL NET ASSETS — 100.0% | | $ | 179,315,168 | |
| | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (b) | This security is traded on a TBA basis (see Note 1). |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $47,508,426 and represents 26.5% of net assets. |
| (d) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2024. |
| (e) | Interest only security. |
| (g) | Security is currently in default. |
| (h) | All or a portion of this security is held at the broker as collateral for open over-the-counter (“OTC”) swap contracts. |
| (i) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| (j) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| (k) | All or a portion of this security is held at the broker as collateral for open securities purchased on a forward commitment basis. |
| (l) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (m) | Rate shown represents yield-to-maturity. |
| (n) | All or a portion of this security was purchased in a sale-buyback transaction. The value of this security totals $218,473 which represents 0.1% of net assets. |
See Notes to Financial Statements.
231
| | | | | | |
| International Fixed Income Fund |
At August 31, 2024, for International Fixed Income Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
(Depreciation) | |
International Fixed Income Fund | | $ | 206,546,154 | | | $ | 12,080,125 | | | $ | (30,014,039) | | | $ | (17,933,914) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| CPI | | — Consumer Price Index |
| DAC | | — Designated Activity Company |
| EURIBOR | | — Euro Interbank Offered Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| OAT | | — Obligations assimilables du Trésor |
| PAM | | — Paid at Maturity |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Mortgage-Backed Securities | | | 30.5 | % |
Sovereign Bonds | | | 27.4 | |
Collateralized Mortgage Obligations | | | 16.1 | |
Corporate Bonds & Notes | | | 8.9 | |
U.S. Government Obligations | | | 7.5 | |
Asset-Backed Securities | | | 0.1 | |
Purchased Options | | | 0.1 | |
Short-Term Investments | | | 9.4 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2024, International Fixed Income Fund held the following Options Contracts Purchased:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 50,000 | | | | $ 50,000 | | | OTC U.S. Dollar vs Chinese Yuan Renminbi Offshore, Call | | | BNP | | | | 12/6/24 | | | | CNH | | | | 7.28 | | | $ | 3,113 | |
| | 40,000 | | | | 40,000 | | | OTC U.S. Dollar vs Chinese Yuan Renminbi Offshore, Call | | | BNP | | | | 1/14/25 | | | | CNH | | | | 7.33 | | | | 1,890 | |
| | 30,000 | | | | 30,000 | | | OTC U.S. Dollar vs Chinese Yuan Renminbi Offshore, Call | | | BNP | | | | 1/14/25 | | | | CNH | | | | 7.40 | | | | 1,241 | |
| | 40,000 | | | | 40,000 | | | OTC U.S. Dollar vs Chinese Yuan Renminbi Offshore, Call | | | BNP | | | | 12/6/24 | | | | CNH | | | | 7.40 | | | | 1,456 | |
| | 180,000 | | | | 180,000 | | | OTC U.S. Dollar vs Chinese Yuan Renminbi Offshore, Call | | | HSBC | | | | 2/14/25 | | | | CNH | | | | 7.38 | | | | 8,949 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | | | | | $ | 16,649 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
232
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 15,000,000 | | | | $ 791,595 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 1/15/25 | | | | 4.250% | | | $ | 10,180 | |
| | 10,600,000 | | | | 559,394 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 5/14/25 | | | | 4.308% | | | | 8,319 | |
| | 100,000 | | | | 5,277 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 9/25/25 | | | | 4.005% | | | | 2,781 | |
| | 700,000 | | | | 36,941 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 6/23/25 | | | | 3.930% | | | | 16,904 | |
| | 900,000 | | | | 47,496 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 6/25/25 | | | | 3.960% | | | | 20,911 | |
| | 200,000 | | | | 10,555 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 9/25/25 | | | | 4.005% | | | | 5,562 | |
| | 600,000 | | | | 31,664 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 6/24/25 | | | | 4.065% | | | | 11,746 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 76,403 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Option on Futures | | | | | | | | | | |
| | | | | | |
Number of Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 200,000 | | | | 194,000,000EUR | | | OTC French Republic Government Bonds OAT Futures, Put(a) | | | BNP | | | | 5/23/25 | | | | EUR 97.00 | | | $ | 94,926 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $163,187) | | | | | | | | | | | | | | $ | 187,978 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
At August 31, 2024, International Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 1,500,000 | | | | 74,250 | GBP | | OTC 1-Year Swaption, Sterling Overnight Index Average, Call | | | JPM | | | | 12/16/24 | | | | 0.820% | | | $ | 20 | |
| | 900,000 | | | | 31,545 | EUR | | OTC 5-Year Swaption, 3-Month EURIBOR, Call | | | NWM | | | | 9/9/24 | | | | 2.280% | | | | 104 | |
| | 900,000 | | | | 31,545 | EUR | | OTC 5-Year Swaption, 3-Month EURIBOR, Put | | | NWM | | | | 9/9/24 | | | | 2.620% | | | | 229 | |
| | 400,000 | | | | $ 21,109 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 9/25/25 | | | | 4.350% | | | | 1,951 | |
| | 2,700,000 | | | | 142,487 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 6/23/25 | | | | 4.250% | | | | 10,716 | |
| | 800,000 | | | | 42,218 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 6/25/25 | | | | 4.280% | | | | 3,067 | |
| | 2,700,000 | | | | 142,487 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 6/25/25 | | | | 4.300% | | | | 10,034 | |
| | 800,000 | | | | 42,218 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 9/25/25 | | | | 4.330% | | | | 4,006 | |
| | 2,300,000 | | | | 121,378 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 6/24/25 | | | | 4.400% | | | | 7,261 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 9/23/24 | | | | 3.138% | | | | 1,022 | |
| | 500,000 | | | | 26,387 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 9/6/24 | | | | 3.232% | | | | 184 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | JPM | | | | 9/12/24 | | | | 3.240% | | | | 839 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | UBS | | | | 9/23/24 | | | | 3.198% | | | | 1,441 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 9/23/24 | | | | 3.538% | | | | 3,256 | |
| | 500,000 | | | | 26,387 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 9/6/24 | | | | 3.632% | | | | 280 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 9/12/24 | | | | 3.640% | | | | 869 | |
| | 600,000 | | | | 31,664 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | UBS | | | | 9/23/24 | | | | 3.598% | | | | 2,287 | |
| | 200,000 | | | | 7,010 | EUR | | OTC 25-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 5/23/25 | | | | 0.451% | | | | 78,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $137,085) | | | | | | | | | | | | | | $ | 126,300 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
233
| | | | | | |
| International Fixed Income Fund |
At August 31, 2024, International Fixed Income Fund held the following Reverse Repurchase Agreement:
| | | | | | | | |
| | |
Face
Amount† | | | Security | | Value | |
| $ | 1,215,000 | | | JPMorgan Chase & Co., 5.460% due 9/10/24 | | | | |
| | | | (Proceeds — $1,215,000) | | $ | 1,215,000 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2024, the daily average borrowing and interest rate under the reverse repurchase agreements were $326,621 and 5.411%, respectively.
At August 31, 2024, International Fixed Income Fund held the following Forward Sale Commitments:
| | | | | | | | |
| | |
Face
Amount† | | | Security | | Value | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| $ | 2,100,000 | | | 2.000% due 9/1/39(a) | | $ | 1,900,683 | |
| | 18,850,000 | | | 2.000% due 10/1/54(a) | | | 15,459,945 | |
| | 700,000 | | | 2.500% due 10/1/52(a) | | | 597,927 | |
| | 2,700,000 | | | 3.000% due 9/1/54(a) | | | 2,397,024 | |
| | 10,200,000 | | | 5.000% due 10/1/54(a) | | | 10,129,111 | |
| | 700,000 | | | 5.500% due 9/1/54(a) | | | 705,055 | |
| | 1,600,000 | | | 6.000% due 9/1/54(a) | | | 1,629,526 | |
| | | | | | | | |
| | | | TOTAL FORWARD SALE COMMITMENTS
(Proceeds — $32,718,355) | | $ | 32,819,271 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
See Notes to Financial Statements.
234
| | | | | | |
| International Fixed Income Fund | | |
At August 31, 2024, International Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 59 | | | | 12/24 | | | $ | 14,037,947 | | | $ | 14,024,669 | | | $ | (13,278 | ) |
3-Month SOFR Futures | | | 59 | | | | 12/25 | | | | 14,204,023 | | | | 14,266,938 | | | | 62,915 | |
Australian Government 10-Year Bond Futures | | | 23 | | | | 9/24 | | | | 1,751,828 | | | | 1,814,531 | | | | 62,703 | |
Australian Government 3-Year Bond Futures | | | 54 | | | | 9/24 | | | | 3,866,074 | | | | 3,908,198 | | | | 42,124 | |
Canada Government 10-Year Bond Futures | | | 42 | | | | 12/24 | | | | 3,864,945 | | | | 3,834,924 | | | | (30,021 | ) |
Euro-Bobl Futures | | | 31 | | | | 9/24 | | | | 3,950,690 | | | | 4,032,427 | | | | 81,737 | |
Euro-BTP Futures | | | 35 | | | | 9/24 | | | | 4,510,557 | | | | 4,599,170 | | | | 88,613 | |
Euro-BTP Futures | | | 93 | | | | 12/24 | | | | 12,238,072 | | | | 12,215,510 | | | | (22,562 | ) |
Euro-Bund Futures | | | 54 | | | | 9/24 | | | | 7,768,351 | | | | 7,993,664 | | | | 225,313 | |
Euro-Buxl 30-Year Bond Futures | | | 10 | | | | 12/24 | | | | 1,492,026 | | | | 1,488,378 | | | | (3,648 | ) |
Euro-OAT Futures | | | 31 | | | | 12/24 | | | | 4,321,657 | | | | 4,322,000 | | | | 343 | |
Euro-Schatz Note Futures | | | 53 | | | | 12/24 | | | | 6,250,728 | | | | 6,248,500 | | | | (2,228 | ) |
U.S. Treasury 2-Year Note Futures | | | 26 | | | | 12/24 | | | | 5,396,422 | | | | 5,396,219 | | | | (203 | ) |
U.S. Treasury Ultra Long Bond Futures | | | 1 | | | | 12/24 | | | | 134,132 | | | | 131,938 | | | | (2,194 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 489,614 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 118 | | | | 6/25 | | | | 28,301,326 | | | | 28,392,275 | | | | (90,949 | ) |
Japan Government 10-Year Bond Futures | | | 1 | | | | 9/24 | | | | 977,525 | | | | 990,113 | | | | (12,588 | ) |
U.S. Treasury 5-Year Note Futures | | | 169 | | | | 12/24 | | | | 18,497,578 | | | | 18,488,336 | | | | 9,242 | |
U.S. Treasury 10-Year Note Futures | | | 14 | | | | 12/24 | | | | 1,593,266 | | | | 1,589,875 | | | | 3,391 | |
U.S. Treasury Long Bond Futures | | | 42 | | | | 12/24 | | | | 5,216,907 | | | | 5,171,250 | | | | 45,657 | |
U.S. Ultra Long Bond Futures | | | 36 | | | | 12/24 | | | | 4,246,479 | | | | 4,227,750 | | | | 18,729 | |
United Kingdom Treasury 10-Year Gilt Futures | | | 35 | | | | 12/24 | | | | 4,554,212 | | | | 4,536,968 | | | | 17,244 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (9,274 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 480,340 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2024, International Fixed Income Fund had deposited cash of $1,217,000 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
See Notes to Financial Statements.
235
| | | | | | |
| International Fixed Income Fund | | |
At August 31, 2024, International Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 275,000 | | | | USD | | | | 185,336 | | | | BOA | | | $ | 186,107 | | | | 9/3/24 | | | $ | 771 | |
Australian Dollar | | | 392,000 | | | | USD | | | | 256,182 | | | | JPM | | | | 265,285 | | | | 9/3/24 | | | | 9,103 | |
Australian Dollar | | | 919,956 | | | | USD | | | | 624,926 | | | | UBS | | | | 622,580 | | | | 9/3/24 | | | | (2,346 | ) |
Brazilian Real | | | 23,021 | | | | USD | | | | 4,216 | | | | BCLY | | | | 4,086 | | | | 9/4/24 | | | | (130 | ) |
Brazilian Real | | | 4,488,987 | | | | USD | | | | 815,068 | | | | BNP | | | | 796,675 | | | | 9/4/24 | | | | (18,393 | ) |
Brazilian Real | | | 153,459 | | | | USD | | | | 28,086 | | | | BNP | | | | 27,235 | | | | 9/4/24 | | | | (851 | ) |
Brazilian Real | | | 102,255 | | | | USD | | | | 18,709 | | | | BNP | | | | 18,148 | | | | 9/4/24 | | | | (561 | ) |
Brazilian Real | | | 61,475 | | | | USD | | | | 11,234 | | | | BNP | | | | 10,910 | | | | 9/4/24 | | | | (324 | ) |
Brazilian Real | | | 46,082 | | | | USD | | | | 8,425 | | | | BNP | | | | 8,178 | | | | 9/4/24 | | | | (247 | ) |
Brazilian Real | | | 46,203 | | | | USD | | | | 8,425 | | | | BNP | | | | 8,199 | | | | 9/4/24 | | | | (226 | ) |
Brazilian Real | | | 46,300 | | | | USD | | | | 8,425 | | | | BNP | | | | 8,217 | | | | 9/4/24 | | | | (208 | ) |
Brazilian Real | | | 46,394 | | | | USD | | | | 8,440 | | | | BNP | | | | 8,234 | | | | 9/4/24 | | | | (206 | ) |
Brazilian Real | | | 22,062 | | | | USD | | | | 4,040 | | | | BOA | | | | 3,916 | | | | 9/4/24 | | | | (124 | ) |
Brazilian Real | | | 4,095,639 | | | | USD | | | | 731,992 | | | | JPM | | | | 724,490 | | | | 10/2/24 | | | | (7,502 | ) |
Brazilian Real | | | 4,456,682 | | | | USD | | | | 787,929 | | | | JPM | | | | 790,943 | | | | 9/4/24 | | | | 3,014 | |
British Pound | | | 151,000 | | | | USD | | | | 194,093 | | | | HSBC | | | | 198,315 | | | | 9/3/24 | | | | 4,222 | |
Chilean Peso | | | 276,178,910 | | | | USD | | | | 298,992 | | | | BCLY | | | | 302,166 | | | | 9/23/24 | | | | 3,174 | |
Chilean Peso | | | 99,668,157 | | | | USD | | | | 105,220 | | | | BCLY | | | | 109,047 | | | | 9/23/24 | | | | 3,827 | |
Chilean Peso | | | 26,260,287 | | | | USD | | | | 28,411 | | | | BNP | | | | 28,731 | | | | 9/23/24 | | | | 320 | |
Chinese Offshore Renminbi | | | 760,000 | | | | USD | | | | 105,253 | | | | BCLY | | | | 107,803 | | | | 10/25/24 | | | | 2,550 | |
Chinese Offshore Renminbi | | | 763,000 | | | | USD | | | | 108,075 | | | | BNP | | | | 108,479 | | | | 11/20/24 | | | | 404 | |
Chinese Offshore Renminbi | | | 1,169,260 | | | | USD | | | | 164,931 | | | | BNP | | | | 165,856 | | | | 10/25/24 | | | | 925 | |
Chinese Offshore Renminbi | | | 7,141,448 | | | | USD | | | | 997,506 | | | | BNP | | | | 1,012,991 | | | | 10/25/24 | | | | 15,485 | |
Chinese Offshore Renminbi | | | 18,102,617 | | | | USD | | | | 2,493,817 | | | | BNP | | | | 2,558,629 | | | | 9/20/24 | | | | 64,812 | |
Chinese Offshore Renminbi | | | 1,089,000 | | | | USD | | | | 152,437 | | | | GSC | | | | 154,471 | | | | 10/25/24 | | | | 2,034 | |
Chinese Offshore Renminbi | | | 1,188,089 | | | | USD | | | | 167,646 | | | | JPM | | | | 168,527 | | | | 10/25/24 | | | | 881 | |
Chinese Offshore Renminbi | | | 62,473 | | | | USD | | | | 8,619 | | | | SCB | | | | 8,830 | | | | 9/20/24 | | | | 211 | |
Chinese Offshore Renminbi | | | 10,556,218 | | | | USD | | | | 1,451,204 | | | | SCB | | | | 1,492,019 | | | | 9/20/24 | | | | 40,815 | |
Chinese Onshore Renminbi | | | 62,444 | | | | USD | | | | 8,838 | | | | BNP | | | | 8,846 | | | | 10/15/24 | | | | 8 | |
Chinese Onshore Renminbi | | | 722,973 | | | | USD | | | | 101,876 | | | | BNP | | | | 102,232 | | | | 9/27/24 | | | | 356 | |
Chinese Onshore Renminbi | | | 1,313,990 | | | | USD | | | | 185,056 | | | | BNP | | | | 185,760 | | | | 9/25/24 | | | | 704 | |
Chinese Onshore Renminbi | | | 3,037,870 | | | | USD | | | | 426,248 | | | | BNP | | | | 428,473 | | | | 9/5/24 | | | | 2,225 | |
Chinese Onshore Renminbi | | | 5,615,471 | | | | USD | | | | 787,342 | | | | BNP | | | | 792,114 | | | | 9/6/24 | | | | 4,772 | |
Chinese Onshore Renminbi | | | 787,852 | | | | USD | | | | 111,012 | | | | BOA | | | | 111,406 | | | | 9/27/24 | | | | 394 | |
Chinese Onshore Renminbi | | | 378,770 | | | | USD | | | | 53,213 | | | | GSC | | | | 53,515 | | | | 9/20/24 | | | | 302 | |
Chinese Onshore Renminbi | | | 3,034,852 | | | | USD | | | | 431,056 | | | | HSBC | | | | 430,017 | | | | 10/17/24 | | | | (1,039 | ) |
Chinese Onshore Renminbi | | | 2,271,398 | | | | USD | | | | 321,541 | | | | JPM | | | | 321,782 | | | | 10/15/24 | | | | 241 | |
Chinese Onshore Renminbi | | | 494,727 | | | | USD | | | | 69,623 | | | | JPM | | | | 69,957 | | | | 9/27/24 | | | | 334 | |
Chinese Onshore Renminbi | | | 1,248,096 | | | | USD | | | | 175,907 | | | | SCB | | | | 176,445 | | | | 9/25/24 | | | | 538 | |
Chinese Onshore Renminbi | | | 461,783 | | | | USD | | | | 64,700 | | | | SCB | | | | 65,244 | | | | 9/20/24 | | | | 544 | |
Chinese Onshore Renminbi | | | 1,417,540 | | | | USD | | | | 199,143 | | | | SCB | | | | 200,399 | | | | 9/25/24 | | | | 1,256 | |
Chinese Onshore Renminbi | | | 2,336,770 | | | | USD | | | | 327,073 | | | | UBS | | | | 329,552 | | | | 9/4/24 | | | | 2,479 | |
Colombian Peso | | | 799,820,000 | | | | USD | | | | 197,000 | | | | BNP | | | | 190,866 | | | | 9/18/24 | | | | (6,134 | ) |
Colombian Peso | | | 507,591,600 | | | | USD | | | | 127,200 | | | | BNP | | | | 121,130 | | | | 9/18/24 | | | | (6,070 | ) |
Colombian Peso | | | 427,966,000 | | | | USD | | | | 107,800 | | | | BNP | | | | 102,128 | | | | 9/18/24 | | | | (5,672 | ) |
Danish Krone | | | 462,497 | | | | USD | | | | 69,023 | | | | JPM | | | | 68,542 | | | | 9/3/24 | | | | (481 | ) |
See Notes to Financial Statements.
236
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | 809,000 | | | | USD | | | | 900,734 | | | | BCLY | | | $ | 894,309 | | | | 9/3/24 | | | $ | (6,425 | ) |
Euro | | | 181,000 | | | | USD | | | | 202,309 | | | | BCLY | | | | 200,087 | | | | 9/3/24 | | | | (2,222 | ) |
Euro | | | 216,000 | | | | USD | | | | 236,521 | | | | BCLY | | | | 238,778 | | | | 9/3/24 | | | | 2,257 | |
Euro | | | 23,331,754 | | | | USD | | | | 25,945,027 | | | | GSC | | | | 25,792,087 | | | | 9/3/24 | | | | (152,940 | ) |
Euro | | | 144,000 | | | | USD | | | | 158,838 | | | | HSBC | | | | 159,185 | | | | 9/3/24 | | | | 347 | |
Hungarian Forint | | | 5,423,501 | | | | USD | | | | 15,066 | | | | BNP | | | | 15,238 | | | | 10/18/24 | | | | 172 | |
Indian Rupee | | | 12,600,749 | | | | USD | | | | 150,551 | | | | BNP | | | | 150,214 | | | | 9/24/24 | | | | (337 | ) |
Indian Rupee | | | 20,982,610 | | | | USD | | | | 250,425 | | | | JPM | | | | 250,134 | | | | 9/24/24 | | | | (291 | ) |
Indian Rupee | | | 95,076,778 | | | | USD | | | | 1,135,995 | | | | SCB | | | | 1,133,414 | | | | 9/24/24 | | | | (2,581 | ) |
Indian Rupee | | | 2,419,618 | | | | USD | | | | 28,902 | | | | SCB | | | | 28,844 | | | | 9/24/24 | | | | (58 | ) |
Indian Rupee | | | 1,554,094 | | | | USD | | | | 18,574 | | | | SCB | | | | 18,527 | | | | 9/24/24 | | | | (47 | ) |
Indonesian Rupiah | | | 138,677,011 | | | | USD | | | | 8,793 | | | | BNP | | | | 8,968 | | | | 9/17/24 | | | | 175 | |
Indonesian Rupiah | | | 183,966,500 | | | | USD | | | | 11,632 | | | | BNP | | | | 11,897 | | | | 9/17/24 | | | | 265 | |
Indonesian Rupiah | | | 219,141,206 | | | | USD | | | | 13,884 | | | | BNP | | | | 14,172 | | | | 9/17/24 | | | | 288 | |
Indonesian Rupiah | | | 2,320,950,000 | | | | USD | | | | 150,000 | | | | BOA | | | | 150,059 | | | | 9/23/24 | | | | 59 | |
Indonesian Rupiah | | | 183,037,400 | | | | USD | | | | 11,570 | | | | BOA | | | | 11,837 | | | | 9/17/24 | | | | 267 | |
Indonesian Rupiah | | | 1,742,580,600 | | | | USD | | | | 107,000 | | | | BOA | | | | 112,709 | | | | 9/13/24 | | | | 5,709 | |
Indonesian Rupiah | | | 182,851,123 | | | | USD | | | | 11,570 | | | | DUB | | | | 11,825 | | | | 9/17/24 | | | | 255 | |
Indonesian Rupiah | | | 103,919,568 | | | | USD | | | | 6,579 | | | | GSC | | | | 6,721 | | | | 9/17/24 | | | | 142 | |
Indonesian Rupiah | | | 2,334,450,000 | | | | USD | | | | 150,000 | | | | GSC | | | | 150,891 | | | | 9/30/24 | | | | 891 | |
Indonesian Rupiah | | | 2,023,962,541 | | | | USD | | | | 129,030 | | | | GSC | | | | 130,888 | | | | 9/17/24 | | | | 1,858 | |
Indonesian Rupiah | | | 808,100,000 | | | | USD | | | | 50,000 | | | | GSC | | | | 52,276 | | | | 9/9/24 | | | | 2,276 | |
Indonesian Rupiah | | | 109,566,974 | | | | USD | | | | 6,942 | | | | HSBC | | | | 7,086 | | | | 9/17/24 | | | | 144 | |
Indonesian Rupiah | | | 809,851,691 | | | | USD | | | | 52,287 | | | | JPM | | | | 52,360 | | | | 9/23/24 | | | | 73 | |
Israeli New Shekel | | | 185,000 | | | | USD | | | | 50,532 | | | | BCLY | | | | 50,962 | | | | 10/18/24 | | | | 430 | |
Japanese Yen | | | 100,000,000 | | | | USD | | | | 662,810 | | | | BCLY | | | | 686,852 | | | | 10/1/24 | | | | 24,042 | |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 353,507 | | | | GSC | | | | 343,426 | | | | 10/1/24 | | | | (10,081 | ) |
Japanese Yen | | | 29,100,000 | | | | USD | | | | 198,174 | | | | GSC | | | | 199,090 | | | | 9/3/24 | | | | 916 | |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 386,125 | | | | GSC | | | | 412,111 | | | | 10/1/24 | | | | 25,986 | |
Japanese Yen | | | 872,384,655 | | | | USD | | | | 6,026,837 | | | | HSBC | | | | 5,968,492 | | | | 9/3/24 | | | | (58,345 | ) |
Japanese Yen | | | 26,400,000 | | | | USD | | | | 186,284 | | | | JPM | | | | 180,617 | | | | 9/3/24 | | | | (5,667 | ) |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 415,007 | | | | JPM | | | | 412,111 | | | | 10/1/24 | | | | (2,896 | ) |
Malaysian Ringgit | | | 907,698 | | | | USD | | | | 204,000 | | | | BOA | | | | 210,293 | | | | 9/18/24 | | | | 6,293 | |
Malaysian Ringgit | | | 3,773,746 | | | | USD | | | | 875,173 | | | | GSC | | | | 874,293 | | | | 9/18/24 | | | | (880 | ) |
Malaysian Ringgit | | | 904,507 | | | | USD | | | | 203,000 | | | | SCB | | | | 209,554 | | | | 9/18/24 | | | | 6,554 | |
Malaysian Ringgit | | | 5,873,080 | | | | USD | | | | 1,328,000 | | | | SCB | | | | 1,360,662 | | | | 9/18/24 | | | | 32,662 | |
Mexican Peso | | | 4,350,000 | | | | USD | | | | 228,468 | | | | BCLY | | | | 220,420 | | | | 9/18/24 | | | | (8,048 | ) |
Mexican Peso | | | 2,335,000 | | | | USD | | | | 123,659 | | | | BCLY | | | | 118,318 | | | | 9/18/24 | | | | (5,341 | ) |
Mexican Peso | | | 4,127,000 | | | | USD | | | | 221,434 | | | | BNP | | | | 209,121 | | | | 9/18/24 | | | | (12,313 | ) |
Mexican Peso | | | 1,254,380 | | | | USD | | | | 69,316 | | | | JPM | | | | 63,561 | | | | 9/18/24 | | | | (5,755 | ) |
New Taiwan Dollar | | | 5,785,325 | | | | USD | | | | 180,718 | | | | BNP | | | | 180,875 | | | | 9/13/24 | | | | 157 | |
New Taiwan Dollar | | | 2,093,679 | | | | USD | | | | 65,106 | | | | BNP | | | | 65,458 | | | | 9/13/24 | | | | 352 | |
New Taiwan Dollar | | | 5,052,274 | | | | USD | | | | 156,422 | | | | BNP | | | | 157,957 | | | | 9/13/24 | | | | 1,535 | |
New Taiwan Dollar | | | 29,951,203 | | | | USD | | | | 942,158 | | | | GSC | | | | 936,410 | | | | 9/13/24 | | | | (5,748 | ) |
New Taiwan Dollar | | | 494,083 | | | | USD | | | | 15,348 | | | | HSBC | | | | 15,447 | | | | 9/13/24 | | | | 99 | |
New Taiwan Dollar | | | 1,976,331 | | | | USD | | | | 61,392 | | | | HSBC | | | | 61,789 | | | | 9/13/24 | | | | 397 | |
New Taiwan Dollar | | | 2,292,023 | | | | USD | | | | 70,807 | | | | HSBC | | | | 71,659 | | | | 9/13/24 | | | | 852 | |
New Taiwan Dollar | | | 4,200,168 | | | | USD | | | | 130,440 | | | | HSBC | | | | 131,316 | | | | 9/13/24 | | | | 876 | |
New Taiwan Dollar | | | 3,804,764 | | | | USD | | | | 116,639 | | | | JPM | | | | 118,954 | | | | 9/13/24 | | | | 2,315 | |
New Taiwan Dollar | | | 2,734,125 | | | | USD | | | | 85,074 | | | | SCB | | | | 85,481 | | | | 9/13/24 | | | | 407 | |
New Taiwan Dollar | | | 1,143,707 | | | | USD | | | | 35,285 | | | | SCB | | | | 35,758 | | | | 9/13/24 | | | | 473 | |
New Zealand Dollar | | | 650,985 | | | | USD | | | | 405,175 | | | | BNP | | | | 406,991 | | | | 10/2/24 | | | | 1,816 | |
See Notes to Financial Statements.
237
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
New Zealand Dollar | | | 650,985 | | | | USD | | | | 383,709 | | | | SCB | | | $ | 406,964 | | | | 9/3/24 | | | $ | 23,255 | |
Peruvian Sol | | | 328,921 | | | | USD | | | | 87,000 | | | | BCLY | | | | 87,752 | | | | 9/18/24 | | | | 752 | |
Polish Zloty | | | 937,204 | | | | USD | | | | 240,402 | | | | DUB | | | | 241,853 | | | | 9/18/24 | | | | 1,451 | |
Polish Zloty | | | 1,848,380 | | | | USD | | | | 465,712 | | | | GSC | | | | 476,881 | | | | 10/2/24 | | | | 11,169 | |
Polish Zloty | | | 3,360,485 | | | | USD | | | | 854,618 | | | | HSBC | | | | 867,202 | | | | 9/18/24 | | | | 12,584 | |
Polish Zloty | | | 1,636,666 | | | | USD | | | | 416,201 | | | | UBS | | | | 422,308 | | | | 9/25/24 | | | | 6,107 | |
Singapore Dollar | | | 275,000 | | | | USD | | | | 207,968 | | | | BCLY | | | | 210,728 | | | | 9/3/24 | | | | 2,760 | |
Singapore Dollar | | | 71,478 | | | | USD | | | | 54,995 | | | | BOA | | | | 54,866 | | | | 10/2/24 | | | | (129 | ) |
Singapore Dollar | | | 2,599,936 | | | | USD | | | | 1,995,040 | | | | DUB | | | | 1,992,288 | | | | 9/3/24 | | | | (2,752 | ) |
Singapore Dollar | | | 193,485 | | | | USD | | | | 148,800 | | | | JPM | | | | 148,517 | | | | 10/2/24 | | | | (283 | ) |
Singapore Dollar | | | 267,000 | | | | USD | | | | 205,004 | | | | SCB | | | | 204,597 | | | | 9/3/24 | | | | (407 | ) |
South African Rand | | | 10,834,735 | | | | USD | | | | 591,609 | | | | BCLY | | | | 605,610 | | | | 10/18/24 | | | | 14,001 | |
South African Rand | | | 9,118,503 | | | | USD | | | | 498,287 | | | | UBS | | | | 509,681 | | | | 10/18/24 | | | | 11,394 | |
Swiss Franc | | | 84,000 | | | | USD | | | | 97,654 | | | | GSC | | | | 98,824 | | | | 9/3/24 | | | | 1,170 | |
Swiss Franc | | | 1,682,746 | | | | USD | | | | 1,996,136 | | | | UBS | | | | 1,979,702 | | | | 9/3/24 | | | | (16,434 | ) |
Thai Baht | | | 11,838,302 | | | | USD | | | | 349,000 | | | | BNP | | | | 348,452 | | | | 9/18/24 | | | | (548 | ) |
Thai Baht | | | 339,106 | | | | USD | | | | 10,000 | | | | BNP | | | | 9,981 | | | | 9/18/24 | | | | (19 | ) |
Thai Baht | | | 5,462,328 | | | | USD | | | | 161,000 | | | | GSC | | | | 160,780 | | | | 9/18/24 | | | | (220 | ) |
Turkish Lira | | | 2,801,226 | | | | USD | | | | 78,431 | | | | BCLY | | | | 78,159 | | | | 10/15/24 | | | | (272 | ) |
Turkish Lira | | | 1,479,152 | | | | USD | | | | 41,372 | | | | BCLY | | | | 41,271 | | | | 10/15/24 | | | | (101 | ) |
Turkish Lira | | | 4,806,875 | | | | USD | | | | 127,326 | | | | BCLY | | | | 127,455 | | | | 11/29/24 | | | | 129 | |
Turkish Lira | | | 11,547,120 | | | | USD | | | | 306,558 | | | | BCLY | | | | 307,153 | | | | 11/26/24 | | | | 595 | |
Turkish Lira | | | 3,918,468 | | | | USD | | | | 110,479 | | | | BCLY | | | | 112,643 | | | | 9/20/24 | | | | 2,164 | |
Turkish Lira | | | 3,912,478 | | | | USD | | | | 110,382 | | | | BCLY | | | | 112,603 | | | | 9/19/24 | | | | 2,221 | |
Turkish Lira | | | 3,710,872 | | | | USD | | | | 85,185 | | | | JPM | | | | 83,697 | | | | 5/6/25 | | | | (1,488 | ) |
Turkish Lira | | | 2,714,595 | | | | USD | | | | 73,308 | | | | JPM | | | | 73,781 | | | | 11/6/24 | | | | 473 | |
Turkish Lira | | | 3,154,721 | | | | USD | | | | 85,217 | | | | JPM | | | | 85,743 | | | | 11/6/24 | | | | 526 | |
Turkish Lira | | | 6,657,617 | | | | USD | | | | 149,475 | | | | JPM | | | | 150,160 | | | | 5/6/25 | | | | 685 | |
Turkish Lira | | | 5,541,001 | | | | USD | | | | 149,474 | | | | JPM | | | | 150,437 | | | | 11/7/24 | | | | 963 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 27,298 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 1,335,956 | | | | USD | | | | 868,603 | | | | BCLY | | | | 904,108 | | | | 9/3/24 | | | | (35,505 | ) |
Australian Dollar | | | 251,000 | | | | USD | | | | 161,865 | | | | JPM | | | | 169,865 | | | | 9/3/24 | | | | (8,000 | ) |
Australian Dollar | | | 919,956 | | | | USD | | | | 625,382 | | | | UBS | | | | 623,017 | | | | 10/2/24 | | | | 2,365 | |
Brazilian Real | | | 23,021 | | | | USD | | | | 4,070 | | | | BCLY | | | | 4,086 | | | | 9/4/24 | | | | (16 | ) |
Brazilian Real | | | 4,425,376 | | | | USD | | | | 782,394 | | | | BNP | | | | 785,386 | | | | 9/4/24 | | | | (2,992 | ) |
Brazilian Real | | | 565,780 | | | | USD | | | | 100,000 | | | | BNP | | | | 100,411 | | | | 9/4/24 | | | | (411 | ) |
Brazilian Real | | | 2,700,000 | | | | USD | | | | 483,698 | | | | BNP | | | | 466,214 | | | | 4/2/25 | | | | 17,484 | |
Brazilian Real | | | 4,502,965 | | | | USD | | | | 815,068 | | | | BNP | | | | 796,543 | | | | 10/2/24 | | | | 18,525 | |
Brazilian Real | | | 22,062 | | | | USD | | | | 3,901 | | | | BOA | | | | 3,916 | | | | 9/4/24 | | | | (15 | ) |
Brazilian Real | | | 300,000 | | | | USD | | | | 54,215 | | | | GSC | | | | 51,802 | | | | 4/2/25 | | | | 2,413 | |
Brazilian Real | | | 400,000 | | | | USD | | | | 71,541 | | | | GSC | | | | 69,069 | | | | 4/2/25 | | | | 2,472 | |
Brazilian Real | | | 600,000 | | | | USD | | | | 107,012 | | | | GSC | | | | 103,603 | | | | 4/2/25 | | | | 3,409 | |
Brazilian Real | | | 500,000 | | | | USD | | | | 90,051 | | | | GSC | | | | 86,336 | | | | 4/2/25 | | | | 3,715 | |
Brazilian Real | | | 700,000 | | | | USD | | | | 126,130 | | | | GSC | | | | 120,871 | | | | 4/2/25 | | | | 5,259 | |
Brazilian Real | | | 900,000 | | | | USD | | | | 160,992 | | | | GSC | | | | 155,404 | | | | 4/2/25 | | | | 5,588 | |
Brazilian Real | | | 3,600,000 | | | | USD | | | | 650,501 | | | | GSC | | | | 621,619 | | | | 4/2/25 | | | | 28,882 | |
Brazilian Real | | | 4,456,682 | | | | USD | | | | 815,376 | | | | JPM | | | | 790,942 | | | | 9/4/24 | | | | 24,434 | |
British Pound | | | 6,994,189 | | | | USD | | | | 9,227,049 | | | | BCLY | | | | 9,188,240 | | | | 10/2/24 | | | | 38,809 | |
British Pound | | | 197,000 | | | | USD | | | | 251,876 | | | | BNP | | | | 258,729 | | | | 9/3/24 | | | | (6,853 | ) |
British Pound | | | 6,948,189 | | | | USD | | | | 8,909,462 | | | | HSBC | | | | 9,125,400 | | | | 9/3/24 | | | | (215,938 | ) |
Canadian Dollar | | | 3,122,485 | | | | USD | | | | 2,257,846 | | | | BCLY | | | | 2,316,814 | | | | 9/3/24 | | | | (58,968 | ) |
See Notes to Financial Statements.
238
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Canadian Dollar | | | 221,000 | | | | USD | | | | 159,988 | | | | BCLY | | | $ | 163,977 | | | | 9/3/24 | | | $ | (3,989 | ) |
Canadian Dollar | | | 3,341,944 | | | | USD | | | | 2,481,251 | | | | SCB | | | | 2,481,860 | | | | 10/2/24 | | | | (609 | ) |
Chilean Peso | | | 181,043,000 | | | | USD | | | | 197,000 | | | | BNP | | | | 198,078 | | | | 9/23/24 | | | | (1,078 | ) |
Chilean Peso | | | 88,817,386 | | | | USD | | | | 97,300 | | | | BNP | | | | 97,175 | | | | 9/23/24 | | | | 125 | |
Chilean Peso | | | 125,004,060 | | | | USD | | | | 137,700 | | | | JPM | | | | 136,766 | | | | 9/23/24 | | | | 934 | |
Chinese Offshore Renminbi | | | 3,777,222 | | | | USD | | | | 523,859 | | | | BCLY | | | | 533,874 | | | | 9/20/24 | | | | (10,015 | ) |
Chinese Offshore Renminbi | | | 131,000 | | | | USD | | | | 18,108 | | | | BCLY | | | | 18,582 | | | | 10/25/24 | | | | (474 | ) |
Chinese Offshore Renminbi | | | 18,025,034 | | | | USD | | | | 2,493,817 | | | | BNP | | | | 2,562,685 | | | | 11/20/24 | | | | (68,868 | ) |
Chinese Offshore Renminbi | | | 6,106,806 | | | | USD | | | | 851,255 | | | | BNP | | | | 863,138 | | | | 9/20/24 | | | | (11,883 | ) |
Chinese Offshore Renminbi | | | 2,727,874 | | | | USD | | | | 380,988 | | | | BNP | | | | 386,940 | | | | 10/25/24 | | | | (5,952 | ) |
Chinese Offshore Renminbi | | | 2,357,981 | | | | USD | | | | 327,429 | | | | BNP | | | | 333,278 | | | | 9/20/24 | | | | (5,849 | ) |
Chinese Offshore Renminbi | | | 3,258,609 | | | | USD | | | | 455,413 | | | | BNP | | | | 460,573 | | | | 9/20/24 | | | | (5,160 | ) |
Chinese Offshore Renminbi | | | 1,161,000 | | | | USD | | | | 160,373 | | | | BNP | | | | 164,684 | | | | 10/25/24 | | | | (4,311 | ) |
Chinese Offshore Renminbi | | | 1,278,390 | | | | USD | | | | 177,340 | | | | BNP | | | | 180,688 | | | | 9/20/24 | | | | (3,348 | ) |
Chinese Offshore Renminbi | | | 1,166,506 | | | | USD | | | | 164,931 | | | | BNP | | | | 165,846 | | | | 11/20/24 | | | | (915 | ) |
Chinese Offshore Renminbi | | | 253,063 | | | | USD | | | | 35,141 | | | | BNP | | | | 35,768 | | | | 9/20/24 | | | | (627 | ) |
Chinese Offshore Renminbi | | | 2,505,000 | | | | USD | | | | 345,394 | | | | GSC | | | | 355,326 | | | | 10/25/24 | | | | (9,932 | ) |
Chinese Offshore Renminbi | | | 632,000 | | | | USD | | | | 88,017 | | | | GSC | | | | 89,648 | | | | 10/25/24 | | | | (1,631 | ) |
Chinese Offshore Renminbi | | | 4,067,751 | | | | USD | | | | 565,018 | | | | HSBC | | | | 574,937 | | | | 9/20/24 | | | | (9,919 | ) |
Chinese Offshore Renminbi | | | 2,616,764 | | | | USD | | | | 363,395 | | | | HSBC | | | | 369,854 | | | | 9/20/24 | | | | (6,459 | ) |
Chinese Offshore Renminbi | | | 7,938,634 | | | | USD | | | | 1,109,492 | | | | JPM | | | | 1,126,070 | | | | 10/25/24 | | | | (16,578 | ) |
Chinese Offshore Renminbi | | | 846,944 | | | | USD | | | | 118,280 | | | | JPM | | | | 120,136 | | | | 10/25/24 | | | | (1,856 | ) |
Chinese Offshore Renminbi | | | 1,185,339 | | | | USD | | | | 167,646 | | | | JPM | | | | 168,524 | | | | 11/20/24 | | | | (878 | ) |
Chinese Offshore Renminbi | | | 10,511,956 | | | | USD | | | | 1,451,204 | | | | SCB | | | | 1,494,523 | | | | 11/20/24 | | | | (43,319 | ) |
Chinese Offshore Renminbi | | | 2,170,935 | | | | USD | | | | 301,657 | | | | SCB | | | | 306,841 | | | | 9/20/24 | | | | (5,184 | ) |
Chinese Offshore Renminbi | | | 2,869,321 | | | | USD | | | | 400,558 | | | | SCB | | | | 405,551 | | | | 9/20/24 | | | | (4,993 | ) |
Chinese Offshore Renminbi | | | 62,206 | | | | USD | | | | 8,619 | | | | SCB | | | | 8,844 | | | | 11/20/24 | | | | (225 | ) |
Chinese Onshore Renminbi | | | 62,806 | | | | USD | | | | 8,838 | | | | BNP | | | | 8,858 | | | | 9/4/24 | | | | (20 | ) |
Chinese Onshore Renminbi | | | 3,055,328 | | | | USD | | | | 431,056 | | | | HSBC | | | | 430,935 | | | | 9/5/24 | | | | 121 | |
Chinese Onshore Renminbi | | | 2,285,063 | | | | USD | | | | 321,541 | | | | JPM | | | | 322,260 | | | | 9/4/24 | | | | (719 | ) |
Colombian Peso | | | 420,905,334 | | | | USD | | | | 99,492 | | | | BCLY | | | | 100,443 | | | | 9/18/24 | | | | (951 | ) |
Colombian Peso | | | 77,794,640 | | | | USD | | | | 19,376 | | | | BCLY | | | | 18,565 | | | | 9/18/24 | | | | 811 | |
Colombian Peso | | | 1,231,799,973 | | | | USD | | | | 308,027 | | | | BNP | | | | 293,952 | | | | 9/18/24 | | | | 14,075 | |
Danish Krone | | | 555,298 | | | | USD | | | | 80,730 | | | | DUB | | | | 82,296 | | | | 9/3/24 | | | | (1,566 | ) |
Danish Krone | | | 171,061 | | | | USD | | | | 24,817 | | | | DUB | | | | 25,352 | | | | 9/3/24 | | | | (535 | ) |
Danish Krone | | | 4,100,000 | | | | USD | | | | 604,777 | | | | HSBC | | | | 614,253 | | | | 4/1/25 | | | | (9,476 | ) |
Danish Krone | | | 351,618 | | | | USD | | | | 51,140 | | | | HSBC | | | | 52,110 | | | | 9/3/24 | | | | (970 | ) |
Danish Krone | | | 4,000,000 | | | | USD | | | | 591,091 | | | | JPM | | | | 596,667 | | | | 1/2/25 | | | | (5,576 | ) |
Danish Krone | | | 461,730 | | | | USD | | | | 69,023 | | | | JPM | | | | 68,538 | | | | 10/2/24 | | | | 485 | |
Danish Krone | | | 614,489 | | | | USD | | | | 91,466 | | | | SCB | | | | 91,214 | | | | 10/2/24 | | | | 252 | |
Euro | | | 10,000 | | | | RON | | | | 49,957 | | | | BCLY | | | | 11,076 | | | | 10/17/24 | | | | 18 | |
Euro | | | 9,367 | | | | RON | | | | 46,845 | | | | BCLY | | | | 10,384 | | | | 11/1/24 | | | | 19 | |
Euro | | | 76,360 | | | | RON | | | | 381,912 | | | | BCLY | | | | 84,645 | | | | 11/1/24 | | | | 163 | |
Euro | | | 59,751 | | | | RON | | | | 298,790 | | | | BNP | | | | 66,234 | | | | 11/1/24 | | | | 116 | |
Euro | | | 51,000 | | | | RON | | | | 254,793 | | | | BOA | | | | 56,492 | | | | 10/17/24 | | | | 93 | |
Euro | | | 155,522 | | | | RON | | | | 777,696 | | | | BOA | | | | 172,397 | | | | 11/1/24 | | | | 301 | |
Euro | | | 23,331,754 | | | | USD | | | | 25,979,670 | | | | GSC | | | | 25,825,175 | | | | 10/2/24 | | | | 154,495 | |
Euro | | | 1,217,000 | | | | USD | | | | 1,314,180 | | | | JPM | | | | 1,345,332 | | | | 9/3/24 | | | | (31,152 | ) |
Euro | | | 23,464,754 | | | | USD | | | | 25,476,296 | | | | SCB | | | | 25,939,112 | | | | 9/3/24 | | | | (462,816 | ) |
Euro | | | 120,000 | | | | RON | | | | 599,431 | | | | SOG | | | | 132,922 | | | | 10/17/24 | | | | 201 | |
Euro | | | 99,000 | | | | RON | | | | 495,406 | | | | SOG | | | | 109,742 | | | | 11/1/24 | | | | 270 | |
Euro | | | 200,839 | | | | RON | | | | 1,004,697 | | | | SOG | | | | 222,630 | | | | 11/1/24 | | | | 476 | |
See Notes to Financial Statements.
239
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Indian Rupee | | | 29,411,417 | | | | USD | | | | 351,824 | | | | BNP | | | $ | 350,615 | | | | 9/24/24 | | | $ | 1,209 | |
Indian Rupee | | | 1,459,331 | | | | USD | | | | 17,433 | | | | JPM | | | | 17,397 | | | | 9/24/24 | | | | 36 | |
Indonesian Rupiah | | | 809,511,824 | | | | USD | | | | 52,287 | | | | JPM | | | | 52,367 | | | | 9/9/24 | | | | (80 | ) |
Israeli New Shekel | | | 183,000 | | | | USD | | | | 48,579 | | | | BCLY | | | | 50,410 | | | | 10/18/24 | | | | (1,831 | ) |
Israeli New Shekel | | | 372,000 | | | | USD | | | | 100,332 | | | | BNP | | | | 102,474 | | | | 10/18/24 | | | | (2,142 | ) |
Israeli New Shekel | | | 1,602,424 | | | | USD | | | | 442,372 | | | | JPM | | | | 441,416 | | | | 10/18/24 | | | | 956 | |
Japanese Yen | | | 520,000,000 | | | | USD | | | | 3,270,643 | | | | BCLY | | | | 3,571,109 | | | | 9/30/24 | | | | (300,466 | ) |
Japanese Yen | | | 834,535,213 | | | | USD | | | | 5,430,182 | | | | BCLY | | | | 5,709,542 | | | | 9/3/24 | | | | (279,360 | ) |
Japanese Yen | | | 410,000,000 | | | | USD | | | | 2,615,084 | | | | BCLY | | | | 2,813,224 | | | | 9/24/24 | | | | (198,140 | ) |
Japanese Yen | | | 100,000,000 | | | | USD | | | | 683,841 | | | | BCLY | | | | 706,636 | | | | 5/20/25 | | | | (22,795 | ) |
Japanese Yen | | | 35,900,000 | | | | USD | | | | 240,246 | | | | BCLY | | | | 245,613 | | | | 9/3/24 | | | | (5,367 | ) |
Japanese Yen | | | 1,216,973,406 | | | | USD | | | | 7,908,762 | | | | BNP | | | | 8,326,025 | | | | 9/3/24 | | | | (417,263 | ) |
Japanese Yen | | | 240,000,000 | | | | USD | | | | 1,511,359 | | | | BNP | | | | 1,649,924 | | | | 10/7/24 | | | | (138,565 | ) |
Japanese Yen | | | 110,000,000 | | | | USD | | | | 699,876 | | | | BNP | | | | 757,144 | | | | 10/15/24 | | | | (57,268 | ) |
Japanese Yen | | | 1,231,831,408 | | | | USD | | | | 8,555,068 | | | | BNP | | | | 8,462,089 | | | | 10/2/24 | | | | 92,979 | |
Japanese Yen | | | 45,700,000 | | | | USD | | | | 313,267 | | | | BOA | | | | 312,660 | | | | 9/3/24 | | | | 607 | |
Japanese Yen | | | 17,873,352 | | | | USD | | | | 123,633 | | | | BOA | | | | 122,782 | | | | 10/2/24 | | | | 851 | |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 400,173 | | | | GSC | | | | 425,308 | | | | 6/20/25 | | | | (25,135 | ) |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 371,443 | | | | GSC | | | | 360,829 | | | | 1/5/26 | | | | 10,614 | |
Japanese Yen | | | 14,800,000 | | | | USD | | | | 100,935 | | | | HSBC | | | | 101,256 | | | | 9/3/24 | | | | (321 | ) |
Japanese Yen | | | 16,670,000 | | | | USD | | | | 133,686 | | | | HSBC | | | | 114,498 | | | | 10/1/24 | | | | 19,188 | |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 400,705 | | | | HSBC | | | | 343,426 | | | | 10/1/24 | | | | 57,279 | |
Japanese Yen | | | 868,716,722 | | | | USD | | | | 6,026,837 | | | | HSBC | | | | 5,967,666 | | | | 10/2/24 | | | | 59,171 | |
Japanese Yen | | | 83,330,000 | | | | USD | | | | 668,378 | | | | HSBC | | | | 572,354 | | | | 10/1/24 | | | | 96,024 | |
Japanese Yen | | | 450,000,000 | | | | USD | | | | 2,864,346 | | | | JPM | | | | 3,097,409 | | | | 10/15/24 | | | | (233,063 | ) |
Japanese Yen | | | 21,900,000 | | | | USD | | | | 145,911 | | | | JPM | | | | 149,830 | | | | 9/3/24 | | | | (3,919 | ) |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 437,801 | | | | JPM | | | | 432,995 | | | | 1/5/26 | | | | 4,806 | |
Japanese Yen | | | 39,900,000 | | | | USD | | | | 320,032 | | | | JPM | | | | 274,054 | | | | 10/1/24 | | | | 45,978 | |
Japanese Yen | | | 40,100,000 | | | | USD | | | | 321,482 | | | | JPM | | | | 275,428 | | | | 10/1/24 | | | | 46,054 | |
Japanese Yen | | | 40,000,000 | | | | USD | | | | 323,533 | | | | JPM | | | | 274,741 | | | | 10/1/24 | | | | 48,792 | |
Japanese Yen | | | 3,193,729 | | | | USD | | | | 22,194 | | | | SCB | | | | 21,939 | | | | 10/2/24 | | | | 255 | |
Korean Won | | | 497,013,076 | | | | USD | | | | 360,298 | | | | BNP | | | | 372,096 | | | | 9/23/24 | | | | (11,798 | ) |
Korean Won | | | 569,046,024 | | | | USD | | | | 414,183 | | | | JPM | | | | 426,025 | | | | 9/23/24 | | | | (11,842 | ) |
Korean Won | | | 427,756,001 | | | | USD | | | | 310,569 | | | | JPM | | | | 320,246 | | | | 9/23/24 | | | | (9,677 | ) |
Korean Won | | | 121,346,368 | | | | USD | | | | 88,000 | | | | JPM | | | | 90,848 | | | | 9/23/24 | | | | (2,848 | ) |
Korean Won | | | 2,134,841,066 | | | | USD | | | | 1,551,190 | | | | SCB | | | | 1,598,281 | | | | 9/23/24 | | | | (47,091 | ) |
Malaysian Ringgit | | | 5,856,480 | | | | USD | | | | 1,328,000 | | | | BCLY | | | | 1,356,816 | | | | 9/18/24 | | | | (28,816 | ) |
Malaysian Ringgit | | | 1,809,319 | | | | USD | | | | 407,000 | | | | BCLY | | | | 419,179 | | | | 9/18/24 | | | | (12,179 | ) |
Malaysian Ringgit | | | 448,670 | | | | USD | | | | 101,075 | | | | GSC | | | | 103,947 | | | | 9/18/24 | | | | (2,872 | ) |
Malaysian Ringgit | | | 3,772,346 | | | | USD | | | | 875,173 | | | | HSBC | | | | 873,968 | | | | 9/18/24 | | | | 1,205 | |
Malaysian Ringgit | | | 12,755,098 | | | | USD | | | | 2,879,385 | | | | SCB | | | | 2,955,072 | | | | 9/18/24 | | | | (75,687 | ) |
Mexican Peso | | | 695,986 | | | | USD | | | | 37,146 | | | | BCLY | | | | 35,267 | | | | 9/18/24 | | | | 1,879 | |
Mexican Peso | | | 1,880,000 | | | | USD | | | | 97,320 | | | | BNP | | | | 95,262 | | | | 9/18/24 | | | | 2,058 | |
Mexican Peso | | | 897,000 | | | | USD | | | | 48,473 | | | | BNP | | | | 45,452 | | | | 9/18/24 | | | | 3,021 | |
Mexican Peso | | | 2,506,169 | | | | USD | | | | 139,098 | | | | BNP | | | | 126,991 | | | | 9/18/24 | | | | 12,107 | |
Mexican Peso | | | 989,675 | | | | USD | | | | 49,526 | | | | GSC | | | | 49,590 | | | | 11/29/24 | | | | (64 | ) |
Mexican Peso | | | 696,000 | | | | USD | | | | 37,267 | | | | GSC | | | | 35,267 | | | | 9/18/24 | | | | 2,000 | |
Mexican Peso | | | 1,922,000 | | | | USD | | | | 98,271 | | | | GSC | | | | 96,025 | | | | 12/18/24 | | | | 2,246 | |
Mexican Peso | | | 1,757,000 | | | | USD | | | | 91,260 | | | | GSC | | | | 87,782 | | | | 12/18/24 | | | | 3,478 | |
Mexican Peso | | | 939,000 | | | | USD | | | | 49,156 | | | | JPM | | | | 46,913 | | | | 12/18/24 | | | | 2,243 | |
New Taiwan Dollar | | | 7,070,532 | | | | USD | | | | 219,119 | | | | BNP | | | | 221,057 | | | | 9/13/24 | | | | (1,938 | ) |
New Taiwan Dollar | | | 5,015,202 | | | | USD | | | | 156,422 | | | | BNP | | | | 157,922 | | | | 11/18/24 | | | | (1,500 | ) |
See Notes to Financial Statements.
240
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
New Taiwan Dollar | | | 7,051,469 | | | | USD | | | | 219,119 | | | | BNP | | | $ | 220,461 | | | | 9/13/24 | | | $ | (1,342 | ) |
New Taiwan Dollar | | | 6,779,213 | | | | USD | | | | 210,744 | | | | BNP | | | | 211,949 | | | | 9/13/24 | | | | (1,205 | ) |
New Taiwan Dollar | | | 6,786,416 | | | | USD | | | | 211,457 | | | | BNP | | | | 212,174 | | | | 9/13/24 | | | | (717 | ) |
New Taiwan Dollar | | | 5,734,724 | | | | USD | | | | 180,718 | | | | BNP | | | | 180,579 | | | | 11/18/24 | | | | 139 | |
New Taiwan Dollar | | | 29,659,134 | | | | USD | | | | 942,158 | | | | GSC | | | | 933,925 | | | | 11/18/24 | | | | 8,233 | |
New Taiwan Dollar | | | 2,283,667 | | | | USD | | | | 70,807 | | | | HSBC | | | | 71,910 | | | | 11/18/24 | | | | (1,103 | ) |
New Taiwan Dollar | | | 4,161,949 | | | | USD | | | | 130,440 | | | | HSBC | | | | 131,054 | | | | 11/18/24 | | | | (614 | ) |
New Taiwan Dollar | | | 3,790,184 | | | | USD | | | | 116,639 | | | | JPM | | | | 119,348 | | | | 11/18/24 | | | | (2,709 | ) |
New Taiwan Dollar | | | 7,262,550 | | | | USD | | | | 225,433 | | | | JPM | | | | 227,060 | | | | 9/13/24 | | | | (1,627 | ) |
New Taiwan Dollar | | | 7,272,066 | | | | USD | | | | 226,002 | | | | JPM | | | | 227,358 | | | | 9/13/24 | | | | (1,356 | ) |
New Taiwan Dollar | | | 3,622,357 | | | | USD | | | | 112,534 | | | | JPM | | | | 113,251 | | | | 9/13/24 | | | | (717 | ) |
New Taiwan Dollar | | | 13,836,663 | | | | USD | | | | 429,177 | | | | SCB | | | | 432,597 | | | | 9/13/24 | | | | (3,420 | ) |
New Taiwan Dollar | | | 1,139,614 | | | | USD | | | | 35,285 | | | | SCB | | | | 35,885 | | | | 11/18/24 | | | | (600 | ) |
New Zealand Dollar | | | 650,985 | | | | USD | | | | 405,139 | | | | BNP | | | | 406,963 | | | | 9/3/24 | | | | (1,824 | ) |
Peruvian Sol | | | 368,496 | | | | USD | | | | 98,336 | | | | DUB | | | | 98,310 | | | | 9/18/24 | | | | 26 | |
Singapore Dollar | | | 2,595,806 | | | | USD | | | | 1,995,040 | | | | DUB | | | | 1,992,518 | | | | 10/2/24 | | | | 2,522 | |
Singapore Dollar | | | 159,000 | | | | USD | | | | 119,993 | | | | GSC | | | | 121,839 | | | | 9/3/24 | | | | (1,846 | ) |
Singapore Dollar | | | 2,717,532 | | | | USD | | | | 2,025,455 | | | | JPM | | | | 2,082,401 | | | | 9/3/24 | | | | (56,946 | ) |
Swedish Krona | | | 4,271,355 | | | | USD | | | | 394,487 | | | | BCLY | | | | 416,052 | | | | 9/3/24 | | | | (21,565 | ) |
Swedish Krona | | | 4,272,772 | | | | USD | | | | 418,506 | | | | BNP | | | | 416,806 | | | | 10/2/24 | | | | 1,700 | |
Swiss Franc | | | 1,680,343 | | | | USD | | | | 1,904,607 | | | | BOA | | | | 1,976,874 | | | | 9/3/24 | | | | (72,267 | ) |
Swiss Franc | | | 43,000 | | | | USD | | | | 50,356 | | | | BOA | | | | 50,588 | | | | 9/3/24 | | | | (232 | ) |
Swiss Franc | | | 43,000 | | | | USD | | | | 49,940 | | | | GSC | | | | 50,588 | | | | 9/3/24 | | | | (648 | ) |
Swiss Franc | | | 1,677,017 | | | | USD | | | | 1,996,136 | | | | UBS | | | | 1,979,478 | | | | 10/2/24 | | | | 16,658 | |
Thai Baht | | | 1,573,386 | | | | USD | | | | 43,855 | | | | BNP | | | | 46,311 | | | | 9/18/24 | | | | (2,456 | ) |
Thai Baht | | | 2,142,203 | | | | USD | | | | 61,066 | | | | HSBC | | | | 63,054 | | | | 9/18/24 | | | | (1,988 | ) |
Thai Baht | | | 14,145,478 | | | | USD | | | | 394,574 | | | | SCB | | | | 416,362 | | | | 9/18/24 | | | | (21,788 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (2,284,904 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (2,257,606 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, International Fixed Income Fund held the following OTC Total Return Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Financing
Rate | | | Payment
Frequency | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
iBoxx Investment Grade Index | | SOFR | | | 3.128 | % | | | PAM | | | | 12/20/24 | | | | BNP | | | | USD | | | | 7,800,000 | | | $ | (204,427 | ) | | $ | 99,715 | | | $ | (304,142 | ) |
iBoxx Investment Grade Index | | SOFR | | | 3.098 | % | | | PAM | | | | 9/20/24 | | | | JPM | | | | USD | | | | 5,200,000 | | | | (195,731 | ) | | | 65,706 | | | | (261,437 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (400,158 | ) | | $ | 165,421 | | | $ | (565,579 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 3-Month MYR-KLIBOR | | | 3.500% | | | | 3/20/29 | | | | 3-Month | | | | GSC | | | | MYR | | | | 9,400,000 | | | $ | (7,735 | ) | | $ | 12,403 | | | $ | (20,138 | ) |
| Receive | | 3-Month MYR-KLIBOR | | | 3.500% | | | | 9/18/29 | | | | 3-Month | | | | BNP | | | | MYR | | | | 9,680,000 | | | | (7,157 | ) | | | (11,408 | ) | | | 4,251 | |
| Receive | | 3-Month MYR-KLIBOR | | | 3.500% | | | | 9/18/29 | | | | 3-Month | | | | GSC | | | | MYR | | | | 1,780,000 | | | | (1,317 | ) | | | 2,517 | | | | (3,834 | ) |
| Receive | | 3-Month MYR-KLIBOR | | | 3.750% | | | | 9/18/34 | | | | 3-Month | | | | BNP | | | | MYR | | | | 1,050,000 | | | | (2,372 | ) | | | (2,898 | ) | | | 526 | |
| Receive | | 3-Month MYR-KLIBOR | | | 3.750% | | | | 9/20/33 | | | | 3-Month | | | | GSC | | | | MYR | | | | 1,510,000 | | | | (3,970 | ) | | | 9,565 | | | | (13,535 | ) |
| Pay | | China 7-Day Reverse Repo Index | | | 2.250% | | | | 9/18/29 | | | | 3-Month | | | | BNP | | | | CNY | | | | 2,700,000 | | | | 8,067 | | | | 3,411 | | | | 4,656 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (14,484 | ) | | $ | 13,590 | | | $ | (28,074 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
241
| | | | | | |
| International Fixed Income Fund | | |
At August 31, 2024, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 3.750% | | | | 6/15/27 | | | 6-Month | | | NZD | | | | 900,000 | | | $ | (2,818 | ) | | $ | (28,224 | ) | | $ | 25,406 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.000% | | | | 6/19/29 | | | 6-Month | | | NZD | | | | 1,300,000 | | | | 6,439 | | | | (17,482 | ) | | | 23,921 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.750% | | | | 6/19/29 | | | 6-Month | | | NZD | | | | 3,900,000 | | | | 102,535 | | | | 30,109 | | | | 72,426 | |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 4.250% | | | | 3/18/30 | | | 6-Month | | | NZD | | | | 3,800,000 | | | | (52,285 | ) | | | 408 | | | | (52,693 | ) |
| Pay | | 6-Month Australian Bank Bill | | | 3.750% | | | | 3/19/30 | | | 6-Month | | | AUD | | | | 8,500,000 | | | | 1,214 | | | | 6,330 | | | | (5,116 | ) |
| Pay | | 6-Month Australian Bank Bill | | | 4.000% | | | | 6/21/33 | | | 6-Month | | | AUD | | | | 200,000 | | | | (525 | ) | | | (12,380 | ) | | | 11,855 | |
| Pay | | 6-Month Australian Bank Bill | | | 4.500% | | | | 9/15/32 | | | 6-Month | | | AUD | | | | 10,400,000 | | | | 104,672 | | | | (258,134 | ) | | | 362,806 | |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | 12-Month | | | EUR | | | | 500,000 | | | | (33,783 | ) | | | — | | | | (33,783 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | 12-Month | | | EUR | | | | 300,000 | | | | (19,785 | ) | | | — | | | | (19,785 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | 12-Month | | | EUR | | | | 200,000 | | | | (13,252 | ) | | | — | | | | (13,252 | ) |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 5/13/27 | | | 12-Month | | | EUR | | | | 500,000 | | | | (27,457 | ) | | | — | | | | (27,457 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/37 | | | 12-Month | | | EUR | | | | 5,650,000 | | | | (197,548 | ) | | | 141,469 | | | | (339,017 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/42 | | | 12-Month | | | EUR | | | | 2,310,000 | | | | (106,182 | ) | | | 176,898 | | | | (283,080 | ) |
| Pay | | 6-Month EURIBOR | | | 2.500% | | | | 3/19/27 | | | 12-Month | | | EUR | | | | 2,400,000 | | | | 7,330 | | | | 1,302 | | | | 6,028 | |
| Pay | | 6-Month EURIBOR | | | 2.500% | | | | 3/19/30 | | | 12-Month | | | EUR | | | | 6,700,000 | | | | 49,803 | | | | 52,555 | | | | (2,752 | ) |
| Pay | | 6-Month EURIBOR | | | 2.500% | | | | 3/19/35 | | | 12-Month | | | EUR | | | | 1,000,000 | | | | (576 | ) | | | 3,062 | | | | (3,638 | ) |
| Pay | | 6-Month EURIBOR | | | 2.750% | | | | 9/18/29 | | | 12-Month | | | EUR | | | | 11,500,000 | | | | 175,315 | | | | 46,179 | | | | 129,136 | |
| Pay | | 6-Month EURIBOR | | | 2.750% | | | | 9/18/34 | | | 12-Month | | | EUR | | | | 7,100,000 | | | | 166,354 | | | | (1,744 | ) | | | 168,098 | |
| Pay | | 6-Month EURIBOR | | | 3.000% | | | | 9/18/26 | | | 12-Month | | | EUR | | | | 1,700,000 | | | | 13,116 | | | | (28,957 | ) | | | 42,073 | |
| Pay | | 6-Month EURIBOR | | | 3.000% | | | | 3/19/27 | | | 12-Month | | | EUR | | | | 7,050,000 | | | | 95,611 | | | | 47,415 | | | | 48,196 | |
| Receive | | 6-Month EURIBOR | | | 0.054% | | | | 5/27/50 | | | 12-Month | | | EUR | | | | 50,000 | | | | 23,426 | | | | 6,520 | | | | 16,906 | |
| Receive | | 6-Month EURIBOR | | | 0.064% | | | | 11/17/52 | | | 12-Month | | | EUR | | | | 100,000 | | | | 52,751 | | | | 11,996 | | | | 40,755 | |
| Receive | | 6-Month EURIBOR | | | 2.250% | | | | 3/19/55 | | | 12-Month | | | EUR | | | | 600,000 | | | | 11,489 | | | | 6,165 | | | | 5,324 | |
| Receive | | 6-Month EURIBOR | | | 2.500% | | | | 9/18/54 | | | 12-Month | | | EUR | | | | 3,800,000 | | | | (147,706 | ) | | | (220,801 | ) | | | 73,095 | |
| Receive | | 6-Month EURIBOR | | | 2.710% | | | | 8/6/34 | | | 12-Month | | | EUR | | | | 800,000 | | | | (13,963 | ) | | | — | | | | (13,963 | ) |
| Receive | | 6-Month EURIBOR | | | 2.818% | | | | 6/26/29 | | | 12-Month | | | EUR | | | | 400,000 | | | | (5,916 | ) | | | — | | | | (5,916 | ) |
| Receive | | 6-Month EURIBOR | | | 2.833% | | | | 8/15/33 | | | 12-Month | | | EUR | | | | 800,000 | | | | (24,116 | ) | | | — | | | | (24,116 | ) |
| Receive | | 6-Month EURIBOR | | | 2.849% | | | | 8/15/33 | | | 12-Month | | | EUR | | | | 1,100,000 | | | | (34,727 | ) | | | — | | | | (34,727 | ) |
| Receive | | 6-Month EURIBOR | | | 2.857% | | | | 8/15/33 | | | 12-Month | | | EUR | | | | 2,800,000 | | | | (90,195 | ) | | | — | | | | (90,195 | ) |
| Receive | | 6-Month EURIBOR | | | 3.000% | | | | 3/15/33 | | | 12-Month | | | EUR | | | | 3,160,000 | | | | (79,207 | ) | | | (33,464 | ) | | | (45,743 | ) |
| Receive | | 6-Month EURIBOR | | | 3.280% | | | | 11/22/33 | | | 12-Month | | | EUR | | | | 100,000 | | | | (8,609 | ) | | | — | | | | (8,609 | ) |
| Pay | | 6-Month EURIBOR | | | 3.370% | | | | 10/9/28 | | | 12-Month | | | EUR | | | | 710,000 | | | | 38,034 | | | | — | | | | 38,034 | |
| Pay | | 28-Day MXN TIIE Banxico | | | 4.870% | | | | 7/7/25 | | | 28-Day | | | MXN | | | | 31,300,000 | | | | (79,453 | ) | | | (90,196 | ) | | | 10,743 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.000% | | | | 3/17/31 | | | 6-Month | | | JPY | | | | 130,000,000 | | | | (42,976 | ) | | | (4,651 | ) | | | (38,325 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.050% | | | | 12/15/31 | | | 12-Month | | | JPY | | | | 490,000,000 | | | | (162,041 | ) | | | (164,853 | ) | | | 2,812 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.250% | | | | 3/15/32 | | | 12-Month | | | JPY | | | | 50,000,000 | | | | (12,159 | ) | | | (1,479 | ) | | | (10,680 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 12/15/51 | | | 12-Month | | | JPY | | | | 67,000,000 | | | | (119,330 | ) | | | (28,522 | ) | | | (90,808 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.450% | | | | 12/15/51 | | | 12-Month | | | JPY | | | | 40,000,000 | | | | (66,828 | ) | | | (61,872 | ) | | | (4,956 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.700% | | | | 3/15/52 | | | 12-Month | | | JPY | | | | 40,000,000 | | | | (52,939 | ) | | | (4,225 | ) | | | (48,714 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.800% | | | | 6/15/52 | | | 12-Month | | | JPY | | | | 120,000,000 | | | | (142,694 | ) | | | (74,226 | ) | | | (68,468 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.850% | | | | 9/20/33 | | | 12-Month | | | JPY | | | | 80,000,000 | | | | 4,973 | | | | 776 | | | | 4,197 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 1.000% | | | | 9/18/34 | | | 12-Month | | | JPY | | | | 90,000,000 | | | | 5,889 | | | | (2,958 | ) | | | 8,847 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 1.000% | | | | 6/19/44 | | | 12-Month | | | JPY | | | | 230,000,000 | | | | (104,000 | ) | | | (92,912 | ) | | | (11,088 | ) |
See Notes to Financial Statements.
242
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 1.200% | | | | 9/20/53 | | | 12-Month | | | JPY | | | | 10,000,000 | | | $ | (5,317 | ) | | $ | 2,520 | | | $ | (7,837 | ) |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 6/19/39 | | | 6-Month | | | JPY | | | | 80,000,000 | | | | 61,360 | | | | (20,457 | ) | | | 81,817 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.713% | | | | 10/2/29 | | | 6-Month | | | CAD | | | | 700,000 | | | | (35,616 | ) | | | (52,319 | ) | | | 16,703 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.900% | | | | 12/18/29 | | | 6-Month | | | CAD | | | | 200,000 | | | | (8,048 | ) | | | (13,233 | ) | | | 5,185 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 6/21/53 | | | 6-Month | | | CAD | | | | 200,000 | | | | 2,965 | | | | (10,586 | ) | | | 13,551 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.500% | | | | 6/19/34 | | | 6-Month | | | CAD | | | | 100,000 | | | | 2,735 | | | | 2,793 | | | | (58 | ) |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.898% | | | | 6/19/26 | | | PAM | | | CAD | | | | 2,500,000 | | | | 16,505 | | | | (3,864 | ) | | | 20,369 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.925% | | | | 6/19/26 | | | PAM | | | CAD | | | | 4,300,000 | | | | 29,216 | | | | (371 | ) | | | 29,587 | |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 3/15/28 | | | 6-Month | | | CAD | | | | 990,000 | | | | (968 | ) | | | 13,208 | | | | (14,176 | ) |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 12/20/33 | | | 6-Month | | | CAD | | | | 2,500,000 | | | | (29,994 | ) | | | 144,403 | | | | (174,397 | ) |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.750% | | | | 12/20/33 | | | 6-Month | | | CAD | | | | 500,000 | | | | (21,345 | ) | | | (2,465 | ) | | | (18,880 | ) |
| Pay | | China 7-Day Reverse Repo Index | | | 2.000% | | | | 9/18/29 | | | 3-Month | | | CNY | | | | 21,860,000 | | | | 28,531 | | | | 11,534 | | | | 16,997 | |
| Pay | | China 7-Day Reverse Repo Index | | | 2.250% | | | | 9/18/29 | | | 3-Month | | | CNY | | | | 158,930,000 | | | | 474,272 | | | | 179,961 | | | | 294,311 | |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.500% | | | | 9/18/29 | | | 6-Month | | | INR | | | | 26,740,000 | | | | (5,817 | ) | | | (2,055 | ) | | | (3,762 | ) |
| Receive | | KSDA South Korea Daily Closing | | | 3.048% | | | | 7/16/29 | | | 3-Month | | | KRW | | | | 1,292,900,000 | | | | (6,051 | ) | | | — | | | | (6,051 | ) |
| Receive | | KSDA South Korea Daily Closing | | | 3.250% | | | | 9/18/29 | | | 3-Month | | | KRW | | | | 2,139,200,000 | | | | (27,057 | ) | | | (7,257 | ) | | | (19,800 | ) |
| Receive | | KSDA South Korea Daily Closing | | | 3.250% | | | | 9/18/34 | | | 3-Month | | | KRW | | | | 310,430,000 | | | | (6,645 | ) | | | 1,721 | | | | (8,366 | ) |
| Receive | | Singapore Overnight Rate Average | | | 2.500% | | | | 9/18/29 | | | 6-Month | | | SGD | | | | 210,000 | | | | (1,317 | ) | | | 271 | | | | (1,588 | ) |
| Receive | | Singapore Overnight Rate Average | | | 2.750% | | | | 9/18/29 | | | 6-Month | | | SGD | | | | 12,610,000 | | | | (192,187 | ) | | | 23,745 | | | | (215,932 | ) |
| Pay | | SOFR | | | 3.000% | | | | 6/21/30 | | | 12-Month | | | USD | | | | 600,000 | | | | (15,955 | ) | | | (25,103 | ) | | | 9,148 | |
| Pay | | SOFR | | | 3.225% | | | | 9/30/29 | | | 12-Month | | | USD | | | | 900,000 | | | | (25,772 | ) | | | 3,140 | | | | (28,912 | ) |
| Pay | | SOFR | | | 3.340% | | | | 2/23/30 | | | 12-Month | | | USD | | | | 580,000 | | | | (8,482 | ) | | | — | | | | (8,482 | ) |
| Pay | | SOFR | | | 3.470% | | | | 2/22/30 | | | 12-Month | | | USD | | | | 800,000 | | | | (6,024 | ) | | | — | | | | (6,024 | ) |
| Pay | | SOFR | | | 3.500% | | | | 6/22/30 | | | 12-Month | | | USD | | | | 190,000 | | | | 134 | | | | — | | | | 134 | |
| Pay | | SOFR | | | 3.500% | | | | 12/20/33 | | | 12-Month | | | USD | | | | 14,220,000 | | | | (130,866 | ) | | | (715,336 | ) | | | 584,470 | |
| Pay | | SOFR | | | 3.725% | | | | 2/7/34 | | | 12-Month | | | USD | | | | 200,000 | | | | 2,496 | | | | — | | | | 2,496 | |
| Pay | | SOFR | | | 3.750% | | | | 12/18/26 | | | 12-Month | | | USD | | | | 14,200,000 | | | | 83,736 | | | | 58,201 | | | | 25,535 | |
| Pay | | SOFR | | | 3.750% | | | | 6/20/29 | | | 12-Month | | | USD | | | | 700,000 | | | | 7,613 | | | | 5,270 | | | | 2,343 | |
| Pay | | SOFR | | | 3.750% | | | | 12/18/29 | | | 12-Month | | | USD | | | | 7,450,000 | | | | 148,240 | | | | 156,711 | | | | (8,471 | ) |
| Pay | | SOFR | | | 3.750% | | | | 12/18/34 | | | 12-Month | | | USD | | | | 4,600,000 | | | | 130,922 | | | | 123,566 | | | | 7,356 | |
| Pay | | SOFR | | | 3.783% | | | | 2/7/34 | | | 12-Month | | | USD | | | | 100,000 | | | | 1,747 | | | | — | | | | 1,747 | |
| Pay | | SOFR | | | 3.860% | | | | 2/21/34 | | | 12-Month | | | USD | | | | 300,000 | | | | 7,413 | | | | — | | | | 7,413 | |
| Pay | | SOFR | | | 3.940% | | | | 2/22/29 | | | 12-Month | | | USD | | | | 900,000 | | | | 11,849 | | | | — | | | | 11,849 | |
| Pay | | SOFR | | | 3.951% | | | | 3/31/30 | | | 12-Month | | | USD | | | | 3,500,000 | | | | 73,067 | | | | — | | | | 73,067 | |
| Pay | | SOFR | | | 3.981% | | | | 11/30/27 | | | 12-Month | | | USD | | | | 3,700,000 | | | | 14,358 | | | | — | | | | 14,358 | |
| Receive | | SOFR | | | 1.000% | | | | 12/15/26 | | | 12-Month | | | USD | | | | 1,000,000 | | | | 89,532 | | | | 3,719 | | | | 85,813 | |
| Receive | | SOFR | | | 2.965% | | | | 11/30/26 | | | 12-Month | | | USD | | | | 6,600,000 | | | | 219,689 | | | | (3,697 | ) | | | 223,386 | |
| Receive | | SOFR | | | 3.250% | | | | 12/20/53 | | | 12-Month | | | USD | | | | 2,400,000 | | | | 108,013 | | | | 297,742 | | | | (189,729 | ) |
| Receive | | SOFR | | | 3.500% | | | | 12/20/38 | | | 12-Month | | | USD | | | | 3,200,000 | | | | 52,598 | | | | 50,178 | | | | 2,420 | |
| Receive | | SOFR | | | 3.500% | | | | 6/20/54 | | | 12-Month | | | USD | | | | 300,000 | | | | (4,079 | ) | | | 14,915 | | | | (18,994 | ) |
| Receive | | SOFR | | | 3.500% | | | | 12/18/54 | | | 12-Month | | | USD | | | | 200,000 | | | | (4,787 | ) | | | (7,492 | ) | | | 2,705 | |
See Notes to Financial Statements.
243
| | | | | | |
| International Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | SOFR | | | 3.595% | | | | 8/19/34 | | | | 12-Month | | | | USD | | | | 500,000 | | | $ | (5,320 | ) | | $ | — | | | $ | (5,320 | ) |
| Receive | | SOFR | | | 3.611% | | | | 8/28/34 | | | | 12-Month | | | | USD | | | | 600,000 | | | | (7,463 | ) | | | — | | | | (7,463 | ) |
| Receive | | SOFR | | | 3.613% | | | | 8/22/34 | | | | 12-Month | | | | USD | | | | 800,000 | | | | (9,851 | ) | | | — | | | | (9,851 | ) |
| Receive | | SOFR | | | 3.645% | | | | 8/7/34 | | | | 12-Month | | | | USD | | | | 700,000 | | | | (9,994 | ) | | | — | | | | (9,994 | ) |
| Receive | | SOFR | | | 3.715% | | | | 8/7/34 | | | | 12-Month | | | | USD | | | | 700,000 | | | | (14,135 | ) | | | — | | | | (14,135 | ) |
| Receive | | SOFR | | | 3.750% | | | | 6/21/25 | | | | 12-Month | | | | USD | | | | 4,900,000 | | | | 42,881 | | | | 24,288 | | | | 18,593 | |
| Receive | | SOFR | | | 3.750% | | | | 6/20/31 | | | | 12-Month | | | | USD | | | | 400,000 | | | | (6,623 | ) | | | (2,001 | ) | | | (4,622 | ) |
| Receive | | SOFR | | | 3.750% | | | | 6/20/34 | | | | 12-Month | | | | USD | | | | 15,270,000 | | | | (318,320 | ) | | | (96,780 | ) | | | (221,540 | ) |
| Receive | | SOFR | | | 4.000% | | | | 6/20/26 | | | | 12-Month | | | | USD | | | | 3,600,000 | | | | (1,813 | ) | | | (10,341 | ) | | | 8,528 | |
| Receive | | SOFR | | | 4.000% | | | | 3/20/54 | | | | 12-Month | | | | USD | | | | 800,000 | | | | (81,794 | ) | | | (92,817 | ) | | | 11,023 | |
| Receive | | SOFR | | | 4.250% | | | | 12/20/25 | | | | 12-Month | | | | USD | | | | 27,709,000 | | | | 145,539 | | | | 143,567 | | | | 1,972 | |
| Pay | | Sterling Overnight Index Average | | | 3.000% | | | | 6/17/27 | | | | 12-Month | | | | GBP | | | | 5,100,000 | | | | (83,027 | ) | | | (11,885 | ) | | | (71,142 | ) |
| Pay | | Sterling Overnight Index Average | | | 3.750% | | | | 9/18/34 | | | | 12-Month | | | | GBP | | | | 8,450,000 | | | | 76,112 | | | | 26,482 | | | | 49,630 | |
| Pay | | Sterling Overnight Index Average | | | 4.000% | | | | 9/18/29 | | | | 12-Month | | | | GBP | | | | 9,900,000 | | | | 167,164 | | | | 132,779 | | | | 34,385 | |
| Receive | | Sterling Overnight Index Average | | | 3.000% | | | | 6/17/35 | | | | 12-Month | | | | GBP | | | | 1,100,000 | | | | 69,713 | | | | 18,443 | | | | 51,270 | |
| Pay | | Swiss Average Rate Overnight Index | | | 0.300% | | | | 2/15/27 | | | | 12-Month | | | | CHF | | | | 200,000 | | | | (3,346 | ) | | | — | | | | (3,346 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.250% | | | | 9/18/29 | | | | 3-Month | | | | THB | | | | 210,060,000 | | | | (48,687 | ) | | | (26,500 | ) | | | (22,187 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.400% | | | | 4/17/29 | | | | 3-Month | | | | THB | | | | 42,100,000 | | | | (18,121 | ) | | | — | | | | (18,121 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.500% | | | | 9/18/29 | | | | 3-Month | | | | THB | | | | 178,340,000 | | | | (103,511 | ) | | | (10,089 | ) | | | (93,422 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.750% | | | | 9/18/34 | | | | 3-Month | | | | THB | | | | 18,990,000 | | | | (18,382 | ) | | | (306 | ) | | | (18,076 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 19,567 | | | $ | (271,693 | ) | | $ | 291,260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Sovereign Issues — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Ratings† | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/24 (2) | | | Notional Amount (3) | | | Value | | | Upfront Payment (Received) | | | Unrealized
Depreciation | |
South Korea Government Bonds, AA | | | (1.000)% | | | | 6/20/29 | | | | 3-Month | | | | BNP | | | | 0.315% | | | | USD | | | | 350,000 | | | $ | (11,258) | | | $ | (10,216) | | | $ | (1,042 | ) |
South Korea Government Bonds, AA | | | (1.000)% | | | | 6/20/29 | | | | 3-Month | | | | GSC | | | | 0.315% | | | | USD | | | | 500,000 | | | | (16,083) | | | | (14,595) | | | | (1,488 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (27,341 | ) | | $ | (24,811 | ) | | $ | (2,530 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
OTC Credit Default Swap on Sovereign Issue — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating† | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/24 (2) | | Notional Amount (3) | | | Value | | | Upfront Payment (Received) | | | Unrealized
Appreciation | |
Republic of Italy Government International Bonds, BBB | | | 1.000 | % | | | 6/20/25 | | | | 3-Month | | | | BCLY | | | 0.137% | | | USD | | | | 300,000 | | | $ | 2,656 | | | $ | (7,348 | ) | | $ | 10,004 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
244
| | | | | | |
| International Fixed Income Fund | | |
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Ratings | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/24 (2) | | | Notional
Amount (3) | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Depreciation | |
Markit CDX North America Investment Grade Series 41 10-Year Index, NR, | | | (1.000 | )% | | | 12/20/33 | | | | 3-Month | | | | 0.874% | | | | USD 1,400,000 | | | $ | (16,472 | ) | | $ | 10,551 | | | $ | (27,023 | ) |
Markit CDX North America Investment Grade Series 42 10-Year Index, NR | | | (1.000 | )% | | | 6/20/34 | | | | 3-Month | | | | 0.913% | | | | USD 5,500,000 | | | | (50,105 | ) | | | (34,228 | ) | | | (15,877 | ) |
Markit iTraxx Europe Series 41 10-Year Index, NR | | | (1.000 | )% | | | 6/20/34 | | | | 3-Month | | | | 0.938% | | | | EUR 3,700,000 | | | | (29,132 | ) | | | (19,071 | ) | | | (10,061 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (95,709 | ) | | $ | (42,748 | ) | | $ | (52,961 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate Issue and Index — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Ratings† | | Fixed Deal
Receive Rate | | | Maturity Date | | | Payment Frequency | | | Implied Credit
Spread at
8/31/24 (2) | | | Notional
Amount (3) | | | Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Ford Motor Credit Co. LLC, BBB- | | | 5.000 | % | | | 6/20/25 | | | | 3-Month | | | | 0.493% | | | | USD 200,000 | | | $ | 9,529 | | | $ | 7,947 | | | $ | 1,582 | |
Markit CDX North America Investment Grade Series 42 5-Year Index, NR | | | 1.000 | % | | | 6/20/29 | | | | 3-Month | | | | 0.495% | | | | USD 32,900,000 | | | | 796,191 | | | | 722,966 | | | | 73,225 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 805,720 | | | $ | 730,913 | | | $ | 74,807 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
At August 31, 2024, International Fixed Income Fund held the following OTC Cross-Currency Swap Contract:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty Pay | | Counterparty Receive | | Maturity
Date (5) | | | Counterparty | | | Notional
Amount of
Currency
Received (6) | | | Notional
Amount of
Currency
Delivered (6) | | | Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
| | | | | | | | |
Floating rate equal to Bank of Japan Uncollateralised Overnight Call Rate minus 0.470% based on the notional amount of currency delivered | | Floating rate equal to SOFR based on the notional amount of currency received | | | 6/18/26 | | | | GSC | | | | JPY 2,662,200,000 | | | USD | 17,918,700 | | | $ | 121,725 | | | $ | 1,377,049 | | | $ | (1,255,324 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
See Notes to Financial Statements.
245
| | | | | | |
| International Fixed Income Fund | | |
| (4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (5) | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
| (6) | The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
At August 31, 2024, International Fixed Income Fund deposited cash collateral with brokers in the amount of $2,799,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| BRL | | — Brazilian Real | | BNP | | — BNP Paribas SA |
| CAD | | — Canadian Dollar | | BOA | | — Bank of America |
| CHF | | — Swiss Franc | | DUB | | — Deutsche Bank AG |
| CNH | | — Chinese Yuan Renminbi Offshore | | | | |
| CNY | | — China Yuan Renminbi | | GSC | | — Goldman Sachs & Co. |
| DKK | | — Danish Krone | | HSBC | | — HSBC Bank USA |
| EUR | | — Euro | | JPM | | — JPMorgan Chase & Co. |
| GBP | | — British Pound | | NWM | | — NatWest Markets PLC |
| HKD | | — Hong Kong Dollar | | SCB | | — Standard Chartered Bank |
| ILS | | — Israeli New Shekel | | SOG | | — Societe Generale SA |
| INR | | — Indian Rupee | | UBS | | — UBS Securities LLC |
| JPY | | — Japanese Yen | | | | |
| KRW | | — Korean Won | | |
| MXN | | — Mexican Peso | | | | |
| MYR | | — Malaysian Ringgit | | | | |
| NOK | | — Norwegian Krone | | | | |
| NZD | | — New Zealand Dollar | | | | |
| RON | | — Romanian New Leu | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| THB | | — Thai Baht | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
At August 31, 2024, International Fixed Income Fund was involved in following sale-buyback transaction:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Date | | | Maturity
Date | | | Borrowing
Rate | | | Amount
Borrowed | |
Bank of America | | | 8/30/24 | | | | 9/10/24 | | | | 5.555 | % | | $ | 572,413 | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| MUNICIPAL BONDS — 95.8% | |
|
| Alabama — 2.6% | |
| $ | 220,000 | | | A1(a) | | Black Belt Energy Gas District, Revenue Bonds, Series A, 5.250% due 5/1/55(b) | | $ | 241,521 | |
| | 1,000,000 | | | Aa3(a) | | Southeast Alabama Gas Supply District (The), Revenue Bonds, Series A, 5.000% due 8/1/54(b) | | | 1,078,854 | |
| | 965,000 | | | A1(a) | | Southeast Energy Authority A Cooperative District, Revenue Bonds, Series A, 5.250% due 1/1/54(b) | | | 1,028,366 | |
| | | | | | | | | | |
| | | | | | Total Alabama | | | 2,348,741 | |
| | | | | | | | | | |
|
| Alaska — 0.4% | |
| | 200,000 | | | AA | | Borough of North Slope, GO, Series B, 5.000% due 6/30/26 | | | 208,345 | |
| | | | | | Northern Tobacco Securitization Corp., Revenue Bonds: | | | | |
| | 105,000 | | | BBB+ | | Series A, 4.000% due 6/1/50 | | | 96,437 | |
| | 45,000 | | | BBB- | | Series B1, 4.000% due 6/1/50 | | | 45,502 | |
| | | | | | | | | | |
| | | | | | Total Alaska | | | 350,284 | |
| | | | | | | | | | |
|
| Arizona — 2.6% | |
| | 475,000 | | | BB | | Arizona Industrial Development Authority, Revenue Bonds, Somerset Academy of Las Vegas — Aliante and Skye Canyon Campus Projects, 3.000% due 12/15/31(c) | | | 438,968 | |
| | 1,000,000 | | | A+ | | City of Mesa, Utility System Revenue, Revenue Bonds, 5.000% due 7/1/40 | | | 1,114,274 | |
| | 500,000 | | | Aa1(a) | | Maricopa County & Phoenix Industrial Development Authorities, Revenue Bonds, Series A, 6.500% due 3/1/55 | | | 562,287 | |
| | 200,000 | | | BB+ | | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(c) | | | 198,531 | |
| | | | | | | | | | |
| | | | | | Total Arizona | | | 2,314,060 | |
| | | | | | | | | | |
|
| California — 13.7% | |
| | 10,615,000 | | | NR | | California County Tobacco Securitization Agency, Revenue Bonds, zero coupon due 6/1/55 | | | 858,345 | |
| | 1,000,000 | | | BBB+ | | California Health Facilities Financing Authority, Revenue Bonds, Adventist Health System, Series A, 5.250% due 12/1/40 | | | 1,129,765 | |
| | | | | | California School Finance Authority, Revenue Bonds: | | | | |
| | 640,000 | | | BBB | | Aspire Public School Obligation Group, 5.000% due 8/1/32(c) | | | 672,124 | |
| | 250,000 | | | NR | | iLead Lancaster Holdings LLC, Series A, 4.000% due 6/1/31(c) | | | 242,218 | |
| | | | | | California State Public Works Board, Revenue Bonds: | | | | |
| | 1,000,000 | | | A+ | | Series D, 4.000% due 5/1/47 | | | 1,004,682 | |
| | 1,000,000 | | | A+ | | Series D, 5.000% due 11/1/46 | | | 1,093,559 | |
| | 15,750,000 | | | NR | | California Statewide Financing Authority, Revenue Bonds, Capital Appreciation Turbo Pooled Program, Series D, zero coupon due 6/1/55(c) | | | 853,644 | |
| | 100,000 | | | NR | | CSCDA Community Improvement Authority, Revenue Bonds, Series B, 4.000% due 12/1/59(c) | | | 67,072 | |
| | 500,000 | | | Aa3(a) | | Livermore Valley Joint Unified School District, GO, 4.000% due 8/1/46 | | | 497,909 | |
| | 1,350,000 | | | AA | | Orange Unified School District, GO, 5.000% due 8/1/35 | | | 1,574,822 | |
| | 1,000,000 | | | AA- | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, 5.000% due 5/15/47 | | | 1,093,779 | |
| | 595,000 | | | AA | | Riverside County Public Financing Authority, Tax Allocation, Series A, 4.000% due 10/1/40 | | | 598,221 | |
| | 485,000 | | | Aa3(a) | | San Diego Public Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 8/1/43 | | | 513,135 | |
| | 500,000 | | | AA | | San Francisco City & County Public Utilities Commission Wastewater Revenue, Revenue Bonds, Green Bond, Series A, 5.000% due 10/1/44 | | | 551,382 | |
| | 475,000 | | | Aa2(a) | | Sonoma Valley Unified School District, GO, 4.000% due 8/1/38 | | | 481,817 | |
| | 1,000,000 | | | AA- | | State of California, GO, 5.000% due 4/1/31 | | | 1,139,672 | |
| | | | | | | | | | |
| | | | | | Total California | | | 12,372,146 | |
| | | | | | | | | | |
|
| Colorado — 2.2% | |
| | | | | | Colorado Health Facilities Authority, Revenue Bonds, Adventhealth Obligated: | | | | |
| | 500,000 | | | AA | | Series A, 3.000% due 11/15/51 | | | 387,755 | |
| | 485,000 | | | AA | | Series A, 5.000% due 11/15/59(b) | | | 532,436 | |
| | 1,000,000 | | | AA | | Town of Johnstown, Water Revenue, Revenue Bonds, 5.000% due 12/1/48 | | | 1,095,206 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 2,015,397 | |
| | | | | | | | | | |
See Notes to Financial Statements.
247
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| Connecticut — 0.6% | |
| $ | 500,000 | | | AA- | | State of Connecticut, GO, Series E, 5.000% due 11/15/28 | | $ | 549,566 | |
| | | | | | | | | | |
|
| District of Columbia — 2.4% | |
| | 2,075,000 | | | WD(d) | | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Capital Appreciation Asset-Backed, Series B, zero coupon due 6/15/46 | | | 436,142 | |
| | | | | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds, AMT | | | | |
| | 700,000 | | | AA- | | Series A, 4.000% due 10/1/36(e) | | | 697,287 | |
| | 1,000,000 | | | AA- | | Series A, 5.000% due 10/1/27(e) | | | 1,051,775 | |
| | | | | | | | | | |
| | | | | | Total District of Columbia | | | 2,185,204 | |
| | | | | | | | | | |
|
| Florida — 6.4% | |
| | 480,000 | | | NR | | Boggy Creek Improvement District, Special Assessment, Series 2013, 5.125% due 5/1/43 | | | 480,036 | |
| | 1,000,000 | | | A | | Brevard County Health Facilities Authority, Revenue Bonds, Health First Obligated Group, Series A, 5.000% due 4/1/47 | | | 1,062,331 | |
| | 665,000 | | | AA+ | | Broward County, Water & Sewer Utility Revenue, Revenue Bonds, Series A, 4.000% due 10/1/45 | | | 655,370 | |
| | 225,000 | | | Baa3(a) | | Capital Projects Finance Authority, Revenue Bonds, Florida University Project, Series A1, 5.000% due 10/1/26 | | | 231,026 | |
| | | | | | Capital Trust Agency Inc., Revenue Bonds: | | | | |
| | 100,000 | | | Ba1(a) | | Viera Charter Schools Inc. Project, Series A, 4.000% due 10/15/29(c) | | | 100,021 | |
| | 2,500,000 | | | NR | | Wonderful Foundations Charter, Series B, zero coupon due 1/1/60 | | | 205,581 | |
| | 1,400,000 | | | A+ | | City of Cape Coral, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,456,907 | |
| | 65,000 | | | NR | | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 | | | 64,634 | |
| | 190,000 | | | NR | | Florida Development Finance Corp., Revenue Bonds, Waste Pro USA Inc. Project, AMT, 5.000% due 5/1/29(c)(e) | | | 193,731 | |
| | 275,000 | | | NR | | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | | | 274,681 | |
| | 1,000,000 | | | A+ | | Orange County Health Facilities Authority, Revenue Bonds, Orlando Health Obligated Group, Series A, 5.000% due 10/1/53 | | | 1,064,108 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 5,788,426 | |
| | | | | | | | | | |
|
| Georgia — 4.1% | |
| | 250,000 | | | AA- | | City of Atlanta, Water & Wastewater Revenue, Revenue Bonds, 5.000% due 11/1/40 | | | 252,002 | |
| | 450,000 | | | AA+ | | Henry County School District, GO, 5.000% due 8/1/25 | | | 459,472 | |
| | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | |
| | 2,500,000 | | | Aa1(a) | | Series A, 4.000% due 7/1/52(b) | | | 2,521,500 | |
| | 435,000 | | | A3(a) | | Series A, 5.000% due 6/1/53(b) | | | 462,613 | |
| | | | | | | | | | |
| | | | | | Total Georgia | | | 3,695,587 | |
| | | | | | | | | | |
|
| Illinois — 1.6% | |
| | 1,000,000 | | | A+ | | Chicago O’Hare International Airport, Revenue Bonds, Series D, 5.000% due 1/1/46 | | | 1,002,142 | |
| | | | | | State of Illinois, GO: | | | | |
| | 260,000 | | | A- | | Series C, 5.000% due 12/1/45 | | | 279,603 | |
| | 150,000 | | | A- | | Series C, 5.000% due 12/1/46 | | | 160,836 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 1,442,581 | |
| | | | | | | | | | |
|
| Indiana — 0.6% | |
| | 500,000 | | | AA+ | | Indianapolis Local Public Improvement Bond Bank, Revenue Bonds, Series D, 6.000% due 2/1/48 | | | 582,651 | |
| | | | | | | | | | |
|
| Kansas — 0.3% | |
| | 250,000 | | | Aaa(a) | | Kansas Development Finance Authority, Revenue Bonds, Series R, 5.000% due 5/1/41 | | | 279,551 | |
| | | | | | | | | | |
|
| Kentucky — 0.3% | |
| | 230,000 | | | NR | | City of Henderson, Revenue Bonds, AMT, Pratt Paper LLC Project, Series A, 4.450% due 1/1/42(c)(e) | | | 228,340 | |
| | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| Louisiana — 0.6% | |
| | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds: | | | | |
| $ | 250,000 | | | A | | Series B, 5.000% due 1/1/38(e) | | $ | 254,760 | |
| | 250,000 | | | A | | Series B, 5.000% due 1/1/37(e) | | | 255,043 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 509,803 | |
| | | | | | | | | | |
|
| Maryland — 1.6% | |
| | | | | | City of Baltimore, Tax Allocation, Harbor Point Project: | | | | |
| | 125,000 | | | NR | | Series A, 2.800% due 6/1/25(c) | | | 124,144 | |
| | 135,000 | | | NR | | Series A, 2.850% due 6/1/26(c) | | | 132,920 | |
| | 500,000 | | | AAA | | County of Prince George’s, GO, Series A, 5.000% due 8/1/40 | | | 570,767 | |
| | 630,000 | | | Baa3(a) | | Maryland Economic Development Corp., Revenue Bonds, Green Bond, Purple Line Light Rail Project, AMT, Series B, 5.250% due 6/30/55(e) | | | 656,065 | |
| | | | | | | | | | |
| | | | | | Total Maryland | | | 1,483,896 | |
| | | | | | | | | | |
|
| Massachusetts — 3.1% | |
| | 1,000,000 | | | AAA | | City of Boston, GO, Series A, 5.000% due 11/1/37 | | | 1,167,537 | |
| | 550,000 | | | AA+ | | Commonwealth of Massachusetts, GO, Series C, 5.000% due 10/1/48 | | | 604,021 | |
| | 1,000,000 | | | AA+ | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A1, 5.000% due 7/1/44 | | | 1,035,467 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 2,807,025 | |
| | | | | | | | | | |
|
| Michigan — 3.7% | |
| | 845,000 | | | A+ | | Central Michigan University, Revenue Bonds, Series A, 5.000% due 10/1/37 | | | 981,991 | |
| | 535,000 | | | AA | | City of Lansing, GO, Series B, AGM-Insured, 5.000% due 6/1/25 | | | 543,567 | |
| | 1,000,000 | | | AA- | | Lansing Board of Water & Light, Revenue Bonds, Series A, 5.250% due 7/1/54 | | | 1,105,575 | |
| | 190,000 | | | A1(a) | | Michigan Finance Authority, Revenue Bonds, McLaren Health Care Corp., Series D2, 1.200% due 10/15/38(b) | | | 172,646 | |
| | 500,000 | | | AA+ | | Michigan State Housing Development Authority, Revenue Bonds, Series D, 5.100% due 12/1/37 | | | 540,886 | |
| | | | | | | | | | |
| | | | | | Total Michigan | | | 3,344,665 | |
| | | | | | | | | | |
|
| Nebraska — 1.8% | |
| | 500,000 | | | A2(a) | | Central Plains Energy Project, Revenue Bonds, Series 1, 5.000% due 5/1/53(b) | | | 525,466 | |
| | 1,000,000 | | | AA | | Omaha Public Power District, Revenue Bonds, Series A, 5.250% due 2/1/48 | | | 1,107,810 | |
| | | | | | | | | | |
| | | | | | Total Nebraska | | | 1,633,276 | |
| | | | | | | | | | |
|
| New Jersey — 2.5% | |
| | 100,000 | | | BBB | | Camden County Improvement Authority (The), Revenue Bonds, KIPP Cooper Norcross High School, 6.000% due 6/15/62 | | | 107,596 | |
| | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | |
| | 110,000 | | | NR | | Golden Door Charter School Project, Series A, 5.125% due 11/1/29(c) | | | 111,302 | |
| | 1,000,000 | | | A- | | Series GGG, 5.250% due 9/1/25(c) | | | 1,024,942 | |
| | 1,000,000 | | | A- | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 6/15/40 | | | 1,003,761 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 2,247,601 | |
| | | | | | | | | | |
|
| New Mexico — 1.1% | |
| | 1,000,000 | | | Aa1(a) | | New Mexico Municipal Energy Acquisition Authority, Revenue Bonds, Series A, 5.000% due 11/1/39(b) | | | 1,008,786 | |
| | | | | | | | | | |
|
| New York — 10.2% | |
| | | | | | City of New York, GO: | | | | |
| | 490,000 | | | AA | | Remarketing, Series J11, 5.000% due 8/1/26 | | | 513,124 | |
| | 1,000,000 | | | AA | | Series B, 5.250% due 10/1/47 | | | 1,099,432 | |
| | | | | | New York City Municipal Water Finance Authority, Revenue Bonds: | | | | |
| | 500,000 | | | AA+ | | Series CC1, 4.000% due 6/15/51 | | | 490,204 | |
| | 500,000 | | | AA+ | | Series DD1, 5.000% due 6/15/49 | | | 522,023 | |
| | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | |
| | 1,000,000 | | | Aa1(a) | | Series A, 5.250% due 3/15/37 | | | 1,081,347 | |
See Notes to Financial Statements.
249
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| New York — 10.2% — (continued) | |
| $ | 500,000 | | | AA+ | | Bidding Group, Series B, Unrefunded Portion, 5.000% due 2/15/43 | | $ | 522,550 | |
| | | | | | New York State Thruway Authority, Revenue Bonds: | | | | |
| | 180,000 | | | AA+ | | Series A, 4.125% due 3/15/52 | | | 177,678 | |
| | 1,000,000 | | | A+ | | Series P, 5.000% due 1/1/40 | | | 1,143,961 | |
| | 225,000 | | | Baa3(a) | | New York Transportation Development Corp., Revenue Bonds, Delta Air Lines Inc. — LaGuardia, AMT, 4.000% due 10/1/30(e) | | | 225,041 | |
| | | | | | Port Authority of New York & New Jersey, Revenue Bonds: | | | | |
| | 1,000,000 | | | AA- | | Series 230, 3.000% due 12/1/31 | | | 1,009,162 | |
| | 500,000 | | | AA- | | Series 241, 5.000% due 7/15/41 | | | 565,208 | |
| | 1,000,000 | | | AA+ | | Triborough Bridge & Tunnel Authority Sales Tax Revenue, Revenue Bonds, Triborough Bridge and Tunnel Authority Capital Lockbox, Series A, 5.000% due 5/15/40 | | | 1,132,097 | |
| | 660,000 | | | AA+ | | Triborough Bridge & Tunnel Authority, Revenue Bonds, Series C, 5.250% due 5/15/52 | | | 719,422 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 9,201,249 | |
| | | | | | | | | | |
|
| North Carolina — 1.9% | |
| | 500,000 | | | AA | | City of Fayetteville, Public Works Commission Revenue, Revenue Bonds, 5.000% due 3/1/26 | | | 518,142 | |
| | 175,000 | | | BBB(d) | | North Carolina Medical Care Commission, Revenue Bonds, United Methodist Retirement, Series B1, 4.250% due 10/1/28 | | | 176,650 | |
| | 1,000,000 | | | AA | | North Carolina Turnpike Authority, Revenue Bonds, Triangle Expressway System, Series A, AGM-Insured, 5.000% due 1/1/58 | | | 1,064,889 | |
| | | | | | | | | | |
| | | | | | Total North Carolina | | | 1,759,681 | |
| | | | | | | | | | |
|
| North Dakota — 0.5% | |
| | 495,000 | | | Aa1(a) | | North Dakota Housing Finance Agency, Revenue Bonds, Water and Sewer System, Series A, 3.700% due 1/1/46 | | | 449,936 | |
| | | | | | | | | | |
|
| Ohio — 3.9% | |
| | | | | | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds: | | | | |
| | 85,000 | | | BBB+ | | Series A2, 3.000% due 6/1/48 | | | 64,353 | |
| | 100,000 | | | NR | | Series B2, 5.000% due 6/1/55 | | | 92,061 | |
| | 1,000,000 | | | Aa2(a) | | North Ridgeville City School District, GO, 5.000% due 12/1/44 | | | 1,054,927 | |
| | 600,000 | | | Baa3(a) | | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Remarketing, Series A, 2.875% due 2/1/26 | | | 588,112 | |
| | 500,000 | | | Aaa(a) | | Ohio Housing Finance Agency, Revenue Bonds, Series B, 6.000% due 3/1/55 | | | 554,602 | |
| | 1,000,000 | | | AAA | | Ohio Water Development Authority, Revenue Bonds, Series A, 5.000% due 12/1/41 | | | 1,140,488 | |
| | | | | | | | | | |
| | | | | | Total Ohio | | | 3,494,543 | |
| | | | | | | | | | |
|
| Oklahoma — 0.2% | |
| | 200,000 | | | AA- | | Oklahoma Industries Authority, Revenue Bonds, 5.000% due 4/1/27 | | | 211,467 | |
| | | | | | | | | | |
|
| Oregon — 1.2% | |
| | 1,000,000 | | | AA- | | Port of Portland Airport Revenue, Revenue Bonds, Green Bond, AMT, Series 29, 5.000% due 7/1/38(e) | | | 1,086,206 | |
| | | | | | | | | | |
|
| Pennsylvania — 0.9% | |
| | 830,000 | | | A+ | | Pennsylvania Turnpike Commission, Revenue Bonds, Series A, 4.000% due 12/1/46 | | | 797,428 | |
| | | | | | | | | | |
|
| Puerto Rico — 1.1% | |
| | | | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | | | | |
| | 664,000 | | | NR | | Series A1, 4.750% due 7/1/53 | | | 659,020 | |
| | 225,000 | | | NR | | Series A1, zero coupon due 7/1/46 | | | 75,868 | |
| | 216,000 | | | NR | | Series A2, 4.784% due 7/1/58 | | | 213,734 | |
| | | | | | | | | | |
| | | | | | Total Puerto Rico | | | 948,622 | |
| | | | | | | | | | |
|
| Tennessee — 3.2% | |
| | 470,000 | | | Aa2(a) | | City of Johnson, GO, Series B, 5.000% due 6/1/25 | | | 478,051 | |
| | 1,000,000 | | | AA+ | | County of Knox, GO, 5.000% due 6/1/25 | | | 1,017,054 | |
| | 245,000 | | | Baa1(a) | | Tennergy Corp., Revenue Bonds, Gas Supply, Series A, 5.500% due 10/1/53(b) | | | 266,152 | |
| | 500,000 | | | BBB+ | | Tennessee Energy Acquisition Corp., Revenue Bonds, Series C, 5.000% due 2/1/25 | | | 501,798 | |
See Notes to Financial Statements.
250
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| Tennessee — 3.2% — (continued) | |
| | | | | | Tennessee Housing Development Agency, Revenue Bonds: | | | | |
| $ | 100,000 | | | AA+ | | Series 2A, 6.000% due 1/1/55 | | $ | 111,970 | |
| | 470,000 | | | Aa2(a) | | Series A, 3.850% due 1/1/35 | | | 470,157 | |
| | | | | | | | | | |
| | | | | | Total Tennessee | | | 2,845,182 | |
| | | | | | | | | | |
|
| Texas — 7.9% | |
| | 315,000 | | | AA | | City of Austin, Water & Wastewater System Revenue, Revenue Bonds, 5.000% due 11/15/41 | | | 353,739 | |
| | 630,000 | | | AA- | | City of Dallas, GO, 5.000% due 2/15/28 | | | 679,833 | |
| | 100,000 | | | BB- | | City of Houston, Airport System Revenue, Revenue Bonds, AMT, Series B1, 5.000% due 7/15/30(e) | | | 100,649 | |
| | 500,000 | | | Aa3(a) | | City of Houston, GO, Series A, 5.250% due 3/1/40 | | | 562,834 | |
| | 1,000,000 | | | AA- | | City of San Antonio, Electric & Gas Systems Revenue, Revenue Bonds, Series A, 5.000% due 2/1/35 | | | 1,155,812 | |
| | 100,000 | | | Aaa(a) | | Crowley Independent School District, GO, PSF-GTD Program, 5.000% due 2/1/48 | | | 108,092 | |
| | 500,000 | | | AAA | | Dalhart Independent School District, GO, PSF-GTD-Program, 5.000% due 2/15/42 | | | 546,759 | |
| | 1,000,000 | | | AAA | | Fort Bend Independent School District, GO, Series A, PSF-GTD-Program, 5.000% due 8/15/44 | | | 1,111,443 | |
| | 995,000 | | | AAA | | Laredo Independent School District, GO, PSF-GTD-Program, 4.000% due 8/1/25 | | | 1,008,129 | |
| | 315,000 | | | Aaa(a) | | New Caney Independent School District, GO, PSF-GTD-Program, 5.000% due 2/15/41 | | | 353,500 | |
| | 390,000 | | | NR | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(c) | | | 369,058 | |
| | 795,000 | | | Aaa(a) | | Northside Independent School District, GO, PSF-GTD-Program, 0.700% due 6/1/50(b) | | | 781,372 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 7,131,220 | |
| | | | | | | | | | |
|
| Utah — 1.1% | |
| | 500,000 | | | Aaa(a) | | Canyons School District, GO, School Bond Guaranty Program, 2.500% due 6/15/30 | | | 478,107 | |
| | 500,000 | | | A- | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 526,392 | |
| | | | | | | | | | |
| | | | | | Total Utah | | | 1,004,499 | |
| | | | | | | | | | |
|
| Virginia — 2.1% | |
| | 500,000 | | | AA+ | | Albemarle County Economic Development Authority, Revenue Bonds, Series A, 5.000% due 6/1/38 | | | 572,154 | |
| | 1,000,000 | | | AA+ | | Virginia College Building Authority, Revenue Bonds, 21st Century College Equipment Program, 5.000% due 2/1/32 | | | 1,153,028 | |
| | 80,000 | | | AA+ | | Virginia Housing Development Authority, Revenue Bonds, Series G, 5.150% due 11/1/52 | | | 83,769 | |
| | 100,000 | | | BBB | | Virginia Small Business Financing Authority, Revenue Bonds, AMT, 4.000% due 1/1/48(e) | | | 92,071 | |
| | | | | | | | | | |
| | | | | | Total Virginia | | | 1,901,022 | |
| | | | | | | | | | |
|
| Washington — 5.8% | |
| | 1,000,000 | | | AA+ | | County of King, Sewer Revenue, Revenue Bonds, Series A, 4.000% due 7/1/39 | | | 1,001,733 | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, School Bond Guaranty Program, 5.000% due 12/1/35 | | | 1,078,307 | |
| | 1,000,000 | | | Aaa(a) | | Snohomish County School District No 15 Edmonds, GO, School Bond Guaranty Program, 5.000% due 12/1/42 | | | 1,130,667 | |
| | 1,500,000 | | | AA+ | | State of Washington, GO, Series R-2022, 4.000% due 7/1/33 | | | 1,612,640 | |
| | | | | | Washington State Housing Finance Commission, Revenue Bonds: | | | | |
| | 100,000 | | | BB(d) | | Transforming Age Projects, Series A, 5.000% due 1/1/26(c) | | | 99,891 | |
| | 285,000 | | | Ba2(a) | | Spokane Int Acad Project, Series A, 4.000% due 7/1/26(c) | | | 280,649 | |
| | | | | | | | | | |
| | | | | | Total Washington | | | 5,203,887 | |
| | | | | | | | | | |
|
| West Virginia — 0.5% | |
| | 435,000 | | | AA- | | State of West Virginia, GO, Series A, 5.000% due 6/1/26 | | | 453,616 | |
| | | | | | | | | | |
|
| Wisconsin — 3.1% | |
| | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | |
| | 1,300,000 | | | AA- | | Aspirus Inc. Obligation Group, Series A, 4.000% due 8/15/40 | | | 1,266,781 | |
| | 500,000 | | | AA | | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 524,349 | |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face Amount† | | | Rating†† | | Security | | Value | |
|
| Wisconsin — 3.1% — (continued) | |
| $ | 1,000,000 | | | AA+ | | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series A, 3.250% due 9/1/26 | | $ | 1,002,290 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 2,793,420 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS (Cost — $85,165,056) | | | 86,469,564 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 3.7% | |
|
| MUNICIPAL BOND — 0.4% | |
|
| Wisconsin — 0.4% | |
| | 400,000 | | | BBB | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Marshfield Clinic Health System, Series A, 5.000% due 2/15/25(f) (Cost — $401,726) | | | 401,726 | |
| | | | | | | | | | |
|
| TIME DEPOSITS — 3.3% | |
| | 1,528,982 | | | | | Citibank — New York, 4.680% due 9/3/24 | | | 1,528,982 | |
| | 1,453,399 | | | | | Skandinaviska Enskilda Banken AB — Stockholm, 4.680% due 9/3/24 | | | 1,453,399 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $2,982,381) | | | 2,982,381 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $3,384,107) | | | 3,384,107 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.5%
(Cost — $88,549,163) | | | 89,853,671 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.5% | | | 477,818 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 90,331,489 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $5,137,555 and represents 5.7% of net assets. |
| (d) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (e) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (f) | Rate shown represents yield-to-maturity. |
At August 31, 2024, for Municipal Bond Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation | |
Municipal Bond Fund | | $ | 88,549,163 | | | $ | 1,953,727 | | | $ | (649,219) | | | $ | 1,304,508 | |
| | |
Abbreviations used in this schedule: |
| AGM | | — Assured Guaranty Municipal Corp. |
| AMT | | — Alternative Minimum Tax |
| GO | | — General Obligation |
| PSF-GTD | | — Permanent School Fund Guaranteed |
See Notes to Financial Statements.
252
| | |
| Summary of Investments by Industry^ | | |
| | |
General Obligation | | 33.6% |
School District | | 11.9 |
Water and Sewer | | 9.3 |
Health Care Providers & Services | | 7.9 |
Airport | | 6.0 |
Transportation | | 4.8 |
Single Family Housing | | 4.7 |
Utilities | | 4.3 |
Education | | 4.2 |
Tobacco Settlement | | 2.7 |
Development | | 2.4 |
Power | | 2.4 |
Higher Education | | 1.1 |
Bond Bank | | 0.6 |
Nursing Homes | | 0.3 |
Housing | | 0.3 |
Multifamily Housing | | 0.2 |
Short-Term Investments | | 3.3 |
| | |
Total Investments | | 100.0% |
| | |
| ^ | As a percentage of total investments. |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
253
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 111.6% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 2,016,755 | | | | | 2.375% due 1/15/25 | | $ | 1,997,454 | |
| | 2,410,802 | | | | | 2.000% due 1/15/26 | | | 2,392,799 | |
| | 2,095,039 | | | | | 1.750% due 1/15/28 | | | 2,093,446 | |
| | 2,896,223 | | | | | 3.625% due 4/15/28 | | | 3,079,858 | |
| | 1,597,945 | | | | | 2.500% due 1/15/29 | | | 1,652,466 | |
| | 2,383,167 | | | | | 3.875% due 4/15/29 | | | 2,611,146 | |
| | 42,480 | | | | | 3.375% due 4/15/32(a) | | | 47,492 | |
| | 843,076 | | | | | 2.125% due 2/15/40 | | | 864,923 | |
| | 932,523 | | | | | 2.125% due 2/15/41 | | | 958,344 | |
| | 2,363,680 | | | | | 0.750% due 2/15/42 | | | 1,927,626 | |
| | 2,172,751 | | | | | 0.625% due 2/15/43 | | | 1,703,750 | |
| | 5,216,954 | | | | | 1.375% due 2/15/44 | | | 4,664,372 | |
| | 2,961,880 | | | | | 0.750% due 2/15/45 | | | 2,320,113 | |
| | 2,771,215 | | | | | 1.000% due 2/15/46 | | | 2,263,220 | |
| | 1,809,099 | | | | | 0.875% due 2/15/47 | | | 1,423,637 | |
| | 2,191,349 | | | | | 1.000% due 2/15/48 | | | 1,759,982 | |
| | 1,498,236 | | | | | 1.000% due 2/15/49 | | | 1,196,382 | |
| | 1,173,139 | | | | | 0.250% due 2/15/50(a) | | | 758,935 | |
| | 1,448,076 | | | | | 0.125% due 2/15/51 | | | 889,392 | |
| | 1,015,740 | | | | | 0.125% due 2/15/52(a) | | | 614,772 | |
| | 1,796,764 | | | | | 1.500% due 2/15/53 | | | 1,588,360 | |
| | 1,126,059 | | | | | 2.125% due 2/15/54 | | | 1,147,398 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 122,454 | | | | | 0.125% due 10/15/24(a) | | | 121,845 | |
| | 1,724,385 | | | | | 0.250% due 1/15/25 | | | 1,694,967 | |
| | 4,135,454 | | | | | 0.125% due 4/15/25 | | | 4,040,631 | |
| | 2,782,143 | | | | | 0.375% due 7/15/25 | | | 2,726,323 | |
| | 4,722,237 | | | | | 0.125% due 10/15/25 | | | 4,601,889 | |
| | 4,442,659 | | | | | 0.625% due 1/15/26 | | | 4,330,316 | |
| | 2,755,400 | | | | | 0.125% due 4/15/26 | | | 2,657,082 | |
| | 4,764,358 | | | | | 0.125% due 7/15/26 | | | 4,607,255 | |
| | 4,254,038 | | | | | 0.125% due 10/15/26 | | | 4,100,225 | |
| | 5,111,397 | | | | | 0.375% due 1/15/27(b) | | | 4,922,359 | |
| | 2,781,825 | | | | | 0.125% due 4/15/27 | | | 2,654,531 | |
| | 3,865,894 | | | | | 0.375% due 7/15/27 | | | 3,722,830 | |
| | 6,363,480 | | | | | 1.625% due 10/15/27(b) | | | 6,351,294 | |
| | 8,378,333 | | | | | 0.500% due 1/15/28(b) | | | 8,032,781 | |
| | 1,047,430 | | | | | 1.250% due 4/15/28 | | | 1,027,622 | |
| | 4,518,312 | | | | | 0.750% due 7/15/28 | | | 4,371,297 | |
| | 5,744,088 | | | | | 2.375% due 10/15/28(b). | | | 5,912,845 | |
| | 3,098,183 | | | | | 0.875% due 1/15/29 | | | 2,993,802 | |
| | 1,117,314 | | | | | 2.125% due 4/15/29(b) | | | 1,138,412 | |
| | 4,626,780 | | | | | 0.250% due 7/15/29 | | | 4,343,338 | |
| | 5,177,549 | | | | | 0.125% due 1/15/30 | | | 4,777,755 | |
| | 3,884,423 | | | | | 0.125% due 7/15/30 | | | 3,570,249 | |
| | 5,322,429 | | | | | 0.125% due 1/15/31 | | | 4,834,280 | |
| | 7,279,362 | | | | | 0.125% due 7/15/31(b) | | | 6,573,553 | |
| | 4,306,844 | | | | | 0.125% due 1/15/32(b) | | | 3,839,230 | |
| | 9,191,220 | | | | | 0.625% due 7/15/32(b) | | | 8,486,291 | |
| | 10,652,672 | | | | | 1.125% due 1/15/33(b) | | | 10,139,052 | |
| | 6,930,882 | | | | | 1.375% due 7/15/33(b) | | | 6,736,199 | |
| | 2,248,554 | | | | | 1.750% due 1/15/34 | | | 2,243,148 | |
| | 801,000 | | | | | 1.875% due 7/15/34(b) | | | 809,834 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $171,638,738) | | | 164,317,102 | |
| | | | | | | | | | |
See Notes to Financial Statements.
254
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| MORTGAGE-BACKED SECURITIES — 13.8% | |
|
| FHLMC — 0.5% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| $ | 90,575 | | | | | 3.000% due 7/1/52 | | $ | 80,464 | |
| | 422,677 | | | | | 6.500% due 10/1/53 | | | 435,650 | |
| | 299,618 | | | | | 5.000% due 7/1/54 | | | 297,520 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 813,634 | |
| | | | | | | | | | |
|
| FNMA — 10.6% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 34,889 | | | | | 4.000% due 3/1/50 | | | 33,469 | |
| | 177,960 | | | | | 3.000% due 5/1/52 | | | 158,285 | |
| | 88,085 | | | | | 4.500% due 10/1/52 | | | 85,848 | |
| | 2,300,000 | | | | | 4.000% due 9/1/54(c) | | | 2,183,579 | |
| | 2,000,000 | | | | | 6.500% due 9/1/54(c) | | | 2,058,534 | |
| | 4,600,000 | | | | | 4.500% due 10/1/54(c) | | | 4,480,872 | |
| | 1,400,000 | | | | | 5.000% due 10/1/54(c) | | | 1,390,270 | |
| | 1,900,000 | | | | | 5.500% due 10/1/54(c) | | | 1,913,572 | |
| | 3,200,000 | | | | | 6.000% due 10/1/54(c) | | | 3,258,676 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 15,563,105 | |
| | | | | | | | | | |
|
| GNMA — 2.7% | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 300,000 | | | | | 3.500% due 11/20/2052 | | | 279,418 | |
| | 4,000,000 | | | | | 3.500% due 09/20/2054(c) | | | 3,725,704 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 4,005,122 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $20,350,986) | | | 20,381,861 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% | |
| | 400,000 | | | NR | | AIMCO CLO, Series 2015-AA, Class AR3, 6.408%
(3-Month Term SOFR + 1.250%) due 10/17/34(d)(e) | | | 400,300 | |
| | | | | | Alternative Loan Trust: | | | | |
| | 166,880 | | | Caa2(f) | | Series 2006-HY11, Class A1, 5.632% (1-Month Term SOFR + 0.354%) due 6/25/36(d) | | | 148,772 | |
| | 27,318 | | | WR(f) | | Series 2007-4CB, Class 1A35, 6.000% due 4/25/37 | | | 23,210 | |
| | 370,065 | | | Caa3(f) | | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(d) | | | 310,327 | |
| | 228,225 | | | Aaa(f) | | ARES L CLO Ltd., Series 2018-50A, Class AR, 6.613%
(3-Month Term SOFR + 1.312%) due 1/15/32(d)(e) | | | 228,623 | |
| | 13,718 | | | WR(f) | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 6.640% due 5/25/33(d) | | | 12,892 | |
| | 105,055 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 6.367%
(1-Month Term SOFR + 1.089%) due 6/25/34(d) | | | 110,542 | |
| | 249,035 | | | AAA | | BlueMountain CLO Ltd., Series 2016-3A, Class A1R2, 6.318%
(3-Month Term SOFR + 1.200%) due 11/15/30(d)(e) | | | 249,243 | |
| | 296,846 | EUR | | Aaa(f) | | Cairn CLO X DAC, Series 2018-10A, Class AR, 4.465%
(3-Month EURIBOR + 0.780%) due 10/15/31(d)(e) | | | 327,785 | |
| | 179,451 | EUR | | Aaa(f) | | Carlyle Euro CLO DAC, Series 2018-2A, Class A1A, 4.325%
(3-Month EURIBOR + 0.800%) due 8/28/31(d)(e) | | | 198,063 | |
| | 255,498 | EUR | | Aaa(f) | | Carlyle Global Markets Strategis Euro CLO Ltd., Series 2014-2A, Class AR-1, 4.292%
(3-Month EURIBOR + 0.750%) due 11/15/31(d)(e) | | | 281,459 | |
| | 25,060 | | | WR(f) | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 5.752%
(1-Month Term SOFR + 0.474%) due 3/25/35(d)(e) | | | 24,375 | |
| | | | | | CHL Mortgage Pass-Through Trust: | | | | |
| | 433,299 | | | WR(f) | | Series 2005-HYB6, Class 2A1, 5.060% due 10/20/35(d) | | | 411,693 | |
| | 40,780 | | | WR(f) | | Series 2005-HYB9, Class 2A1, 7.210% (1-Year Term SOFR + 2.465%) due 2/20/36(d) | | | 36,889 | |
| | 79,098 | | | Caa2(f) | | Series 2006-6, Class A4, 6.000% due 4/25/36 | | | 39,004 | |
| | 117,004 | | | WD(g) | | Series 2007-1, Class A1, 6.000% due 3/25/37 | | | 52,789 | |
See Notes to Financial Statements.
255
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% — (continued) | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| $ | 2,819 | | | WR(f) | | Series 2004-HYB2, Class 2A, 6.236% due 3/25/34(d) | | $ | 2,527 | |
| | 104,938 | | | Caa2(f) | | Series 2007-AR4, Class 1A1A, 4.714% due 3/25/37(d) | | | 87,714 | |
| | 13,533 | | | CCC(g) | | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | | | 13,147 | |
| | 114,175 | | | NR | | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 5.542%
(1-Month Term SOFR + 0.264%) due 9/29/36(d)(e) | | | 111,376 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | CCC | | Series 2005-CB3, Class M4, 3.539% (1-Month Term SOFR + 1.164%) due 6/25/35(d) | | | 147,849 | |
| | 670,267 | | | D | | Series 2007-CB6, Class A3, 5.684% (1-Month Term SOFR + 0.334%) due 7/25/37(d)(e) | | | 440,613 | |
| | | | | | CWABS Asset-Backed Certificates Trust: | | | | |
| | 149,011 | | | Caa2(f) | | Series 2004-7, Class MV5, 3.813% (1-Month Term SOFR + 1.839%) due 11/25/34(d) | | | 128,818 | |
| | 243,114 | | | CC | | Series 2007-1, Class 1A, 5.532% (1-Month Term SOFR + 0.254%) due 7/25/37(d) | | | 225,182 | |
| | 52,402 | | | D | | Series 2007-6, Class 1A, 5.592% (1-Month Term SOFR + 0.314%) due 9/25/37(d) | | | 47,250 | |
| | 257,807 | | | CCC | | Series 2007-8, Class 1A1, 5.582% (1-Month Term SOFR + 0.304%) due 11/25/37(d) | | | 242,068 | |
| | 500,000 | EUR | | AAA | | Dryden 44 Euro CLO, Series 2015-44A, Class A1RR, 4.565%
(3-Month EURIBOR + 0.880%) due 4/15/34(d)(e) | | | 551,505 | |
| | 82,400 | | | Aaa(f) | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 6.543%
(3-Month Term SOFR + 1.242%) due 4/15/28(d)(e) | | | 82,458 | |
| | 504,981 | | | B | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 6.492%
(1-Month Term SOFR + 1.214%) due 5/25/37(d)(e) | | | 492,119 | |
| | 600,000 | | | AAA | | Elmwood CLO 24 Ltd., Series 2023-3A, Class A1, 6.986%
(3-Month Term SOFR + 1.700%) due 12/11/33(d)(e) | | | 602,350 | |
| | 500,000 | | | NR | | Freddie Mac Multifamily Structured Pass Through Certificates, Series KBX1, Class A2, 2.920% due 1/25/26 | | | 492,470 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 217,890 | | | NR | | Series 2018-H15, Class FG, 6.246% (1-Year Term SOFR + 0.865%) due 8/20/68(d) | | | 214,954 | |
| | 503,303 | | | NR | | Series 2023-H11, Class FC, 6.453% (30-Day Average SOFR + 1.100%) due 5/20/73(d) | | | 507,527 | |
| | 2,687,039 | | | NR | | Series 2023-H19, Class FA, 6.253% (30-Day Average SOFR + 0.900%) due 8/20/73(d) | | | 2,701,445 | |
| | 18,415 | | | Caa3(f) | | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.720% due 3/25/46 | | | 9,932 | |
| | 2,896 | | | AA- | | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 6.130%
(1-Month Term SOFR + 0.794%) due 6/20/35(d) | | | 2,728 | |
| | 39,653 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 6.032%
(1-Month Term SOFR + 0.754%) due 7/25/45(d) | | | 31,581 | |
| | 107,516 | | | CCC | | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 5.852%
(1-Month Term SOFR + 0.574%) due 3/25/36(d) | | | 100,108 | |
| | 57,172 | | | A- | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 6.834%
(1-Month Term SOFR + 1.497%) due 12/15/31(d)(e) | | | 52,579 | |
| | 164,953 | | | Aaa(f) | | LCM Loan Income Fund I Ltd., Series 1A, Class A, 6.574%
(3-Month Term SOFR + 1.292%) due 4/20/31(d)(e) | | | 165,092 | |
| | 195,761 | | | WD(g) | | Lehman XS Trust, Series 2007-20N, Class A1, 7.692%
(1-Month Term SOFR + 2.414%) due 12/25/37(d) | | | 186,121 | |
| | 148,204 | | | Ca(f) | | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 5.632%
(1-Month Term SOFR + 0.354%) due 8/25/36(d) | | | 59,328 | |
| | 600,000 | | | Aaa(f) | | LUX Trust LION, Class A, 8.027% (1-Month Term SOFR + 2.690%) due 8/15/40(d)(e) | | | 602,823 | |
| | 418,309 | | | Aaa(f) | | Magnetite XII Ltd., Series 2015-12A, Class AR4, 6.451%
(3-Month Term SOFR + 1.150%) due 10/15/31(d)(e) | | | 418,598 | |
| | 879,225 | EUR | | Aaa(f) | | Man GLG Euro CLO V DAC, Series 5A, Class A1R, 4.409%
(3-Month EURIBOR + 0.690%) due 12/15/31(d)(e) | | | 970,913 | |
| | 3,047 | | | WR(f) | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 5.931%
(1-Month Term SOFR + 0.594%) due 6/15/30(d) | | | 2,941 | |
| | 300,000 | | | AAA(g) | | Neuberger Berman Loan Advisers NBLA CLO 53 Ltd., Series 2023-53A, Class A, 6.873%
(3-Month Term SOFR + 1.590%) due 10/24/32(d)(e) | | | 301,151 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 29,497 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(d)(e) | | | 28,953 | |
| | 147,478 | | | Aaa(f) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(d)(e) | | | 140,843 | |
See Notes to Financial Statements.
256
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% — (continued) | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| $ | 84,386 | | | CC | | Series 2007-1, Class 1A1, 5.532% (1-Month Term SOFR + 0.254%) due 1/25/37(d) | | $ | 54,727 | |
| | 79,443 | | | D | | Series 2007-2, Class 1A1, 5.532% (1-Month Term SOFR + 0.254%) due 3/25/37(d) | | | 54,869 | |
| | 96,993 | | | Aaa(f) | | OZLM VIII Ltd., Series 2014-8A, Class A1R3, 6.527%
(3-Month Term SOFR + 1.242%) due 10/17/29(d)(e) | | | 97,036 | |
| | 481,512 | EUR | | Aaa(f) | | Palmer Square European Loan Funding DAC, Series 2023-3A, Class A, 5.042%
(3-Month EURIBOR + 1.500%) due 5/15/33(d)(e) | | | 535,031 | |
| | 122,484 | | | A | | RASC Trust, Series 2006-KS3, Class M1, 5.887%
(1-Month Term SOFR + 0.444%) due 4/25/36(d) | | | 121,039 | |
| | 554,754 | | | Aaa(f) | | Regatta XV Funding Ltd., Series 2018-4A, Class A1R, 6.485%
(3-Month Term SOFR + 1.200%) due 10/25/31(d)(e) | | | 555,502 | |
| | 505,550 | | | WD(g) | | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | | | 179,754 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 430,369 | | | Ca(f) | | Series 2006-FR3, Class A3, 5.892% (1-Month Term SOFR + 0.614%) due 5/25/36(d) | | | 224,969 | |
| | 90,074 | | | Ca(f) | | Series 2006-HE2, Class A2C, 5.692% (1-Month Term SOFR + 0.414%) due 7/25/36(d) | | | 35,963 | |
| | 56,963 | | | WR(f) | | Sequoia Mortgage Trust, Series 6, Class A, 6.096%
(1-Month Term SOFR + 0.754%) due 4/19/27(d) | | | 55,270 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 192,074 | | | Caa3(f) | | Series 2007-OPT1, Class 1A1, 5.592% (1-Month Term SOFR + 0.314%) due 6/25/37(d) | | | 132,894 | |
| | 45,375 | | | CCC | | Series 2007-OPT2, Class 2A3, 5.572% (1-Month Term SOFR + 0.294%) due 7/25/37(d) | | | 40,967 | |
| | 488,349 | EUR | | Aaa(f) | | St Paul’s CLO DAC, Series 4A, Class ARR1, 4.515%
(3-Month EURIBOR + 0.830%) due 4/25/30(d)(e) | | | 539,335 | |
| | 600,000 | | | AAA | | TIAA CLO IV Ltd., Series 2018-1A, Class A1AR, 6.422%
(3-Month Term SOFR + 1.140%) due 1/20/32(d)(e) | | | 600,875 | |
| | 700,000 | | | AAA | | Tralee CLO VI Ltd., Series 2019-6A, Class A1RR, 6.505%
(3-Month Term SOFR + 1.220%) due 10/25/32(d)(e) | | | 700,184 | |
| | 500,000 | | | AAA | | Trinitas CLO VI Ltd, Series 2017-6A, Class ARRR, 6.615%
(3-Month Term SOFR + 1.330%) due 1/25/34(d)(e) | | | 498,974 | |
| | 600,000 | | | AAA | | Trinitas CLO XIV Ltd., Series 2020-14A, Class A1R, 6.625%
(3-Month Term SOFR + 1.340%) due 1/25/34(d)(e) | | | 601,426 | |
| | 348,839 | | | Aaa(f) | | VMC Finance LLC, Series 2022-FL5, Class A, 7.253%
(30-Day Average SOFR + 1.900%) due 2/18/39(d)(e) | | | 348,696 | |
| | | | | | Voya CLO Ltd.: | | | | |
| | 125,532 | | | Aaa(f) | | Series 2017-1A, Class A1R, 6.497% (3-Month Term SOFR + 1.212%) due 4/17/30(d)(e) | | | 125,664 | |
| | 86,409 | | | AAA | | Series 2017-2A, Class A1R, 6.543% (3-Month Term SOFR + 1.242%) due 6/7/30(d)(e) | | | 86,499 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 4,737 | | | Baa1(f) | | Series 2002-AR2, Class A, 4.490%
(11th District Cost of Funds Index + 1.250%) due 2/27/34(d) | | | 4,510 | |
| | 2,009 | | | WR(f) | | Series 2002-AR17, Class 1A, 6.362%
(1-Year Treasury Average Rate + 1.200%) due 11/25/42(d) | | | 1,902 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $19,344,965) | | | 18,617,115 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 4.7% | |
|
| Canada — 0.3% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 551,319 | CAD | | AAA | | 4.250% due 12/1/26 | | | 433,777 | |
| | 62,093 | CAD | | AAA | | 0.500% due 12/1/50 | | | 35,571 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 469,348 | |
| | | | | | | | | | |
See Notes to Financial Statements.
257
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| France — 0.8% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 719,508 | EUR | | AA-u(g) | | 0.100% due 3/1/26(e) | | $ | 781,570 | |
| | 240,208 | EUR | | AA-u(g) | | 0.100% due 7/25/31(e) | | | 253,290 | |
| | 117,925 | EUR | | AA-u(g) | | 0.100% due 7/25/38(e) | | | 113,604 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,148,464 | |
| | | | | | | | | | |
|
| Italy — 2.6% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 3,103,100 | EUR | | NR | | 1.400% due 5/26/25(e) | | | 3,412,484 | |
| | 365,331 | EUR | | Baa3u(f) | | 0.400% due 5/15/30(e) | | | 378,777 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 3,791,261 | |
| | | | | | | | | | |
|
| Japan — 1.0% | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 64,556,620 | JPY | | A1(f) | | 0.100% due 3/10/28 | | | 463,148 | |
| | 145,607,080 | JPY | | A1(f) | | 0.100% due 3/10/29 | | | 1,051,832 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 1,514,980 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $7,713,731) | | | 6,924,053 | |
| | | | | | | | | | |
|
| CORPORATE BONDS & NOTES — 0.1% | |
|
| Banks — 0.1% | |
| | 100,000 | GBP | | BBB | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 130,639 | |
| | 35,133 | DKK | | AAA | | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 4,121 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 134,760 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 0.0%@ | |
| | 98,886 | DKK | | AAA | | Jyske Realkredit AS, Covered Notes, 1.500% due 10/1/53 | | | 11,567 | |
| | 100,000 | DKK | | AAA | | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.500% due 10/1/53 | | | 10,445 | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 18,330 | DKK | | AAA | | 1.000% due 10/1/53 | | | 2,129 | |
| | 175,528 | DKK | | AAA | | 1.500% due 10/1/53 | | | 21,293 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 45,434 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $235,381) | | | 180,194 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $219,283,801) | | | 210,420,325 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 0.5% | |
|
| TIME DEPOSITS — 0.5% | |
| | | | | | BBH — New York: | | | | |
| | 6,052 | DKK | | | | 2.250% due 9/2/24 | | | 897 | |
| | 1,294 | CAD | | | | 3.330% due 9/3/24 | | | 960 | |
| | 61,028 | NZD | | | | BNP Paribas — Paris, 3.410% due 9/2/24 | | | 38,151 | |
| | 56,876 | AUD | | | | DNB — Oslo, 2.920% due 9/2/24 | | | 38,490 | |
| | 462 | SGD | | | | HSBC Bank — Singapore, 2.260% due 9/2/24 | | | 354 | |
| | 813,688 | JPY | | | | ING Bank — Amsterdam, 0.010% due 9/2/24 | | | 5,567 | |
| | | | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 16,371 | SEK | | | | 2.250% due 9/2/24 | | | 1,595 | |
| | 478 | NOK | | | | 3.260% due 9/2/24 | | | 45 | |
| | 666 | GBP | | | | 3.910% due 9/2/24 | | | 875 | |
| $ | 525,914 | | | | | 4.680% due 9/3/24 | | | 525,914 | |
See Notes to Financial Statements.
258
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| TIME DEPOSITS — 0.5% — (continued) | |
| | 5,501 | ZAR | | | | Standard Chartered Bank — Johannesburg, 6.220% due 9/2/24 | | $ | 309 | |
| | 142,848 | EUR | | | | Sumitomo Mitsui Banking Corp. — Tokyo, 2.570% due 9/2/24 | | | 157,912 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $771,069) | | | 771,069 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 143.4%
(Cost — $220,054,870) | | | 211,191,394 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (43.4)% | | | (63,887,299 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 147,304,095 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is held at the broker as collateral for open OTC swap contracts. |
| (b) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (c) | This security is traded on a TBA basis (see Note 1). |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (e) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $16,300,168 and represents 11.1% of net assets. |
| (f) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
At August 31, 2024, for Inflation-Linked Fixed Income Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
(Depreciation) | |
Inflation-Linked Fixed Income Fund | | $ | 223,044,133 | | | $ | 5,796,225 | | | $ | (17,447,367) | | | $ | (11,651,142) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CPI | | — Consumer Price Index |
| DAC | | — Designated Activity Company |
| EURIBOR | | — Euro Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| OAT | | — Obligations assimilables du Trésor |
| PLC | | — Public Limited Company |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | |
U.S. Government Obligations | | | 77.8 | % |
Mortgage-Backed Securities | | | 9.6 | |
Collateralized Mortgage Obligations | | | 8.8 | |
Sovereign Bonds | | | 3.3 | |
Corporate Bonds & Notes | | | 0.1 | |
Short-Term Investments | | | 0.4 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
259
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2024, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 5,900,000 | | | | 206,795EUR | | | OTC 2-Year Swaption, 3-Month EURIBOR, Call | | | BCLY | | | | 10/6/25 | | | | 3.150% | | | $ | 116,616 | |
| | 5,900,000 | | | | 206,795EUR | | | OTC 2-Year Swaption, 3-Month EURIBOR, Put | | | BCLY | | | | 10/6/25 | | | | 3.150% | | | | 11,578 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 128,194 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 29 | | | | 3,092,415EUR | | | Euro-Schatz Futures, Call | | | WFSL | | | | 9/20/24 | | | | EUR 107.00 | | | $ | 1,603 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $140,871) | | | | | | | | | | | | | | $ | 129,797 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2024, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amount† | | | Security | | Value | |
| | | | Bank of America: | | | | |
| $ | 3,207,500 | | | 5.450% due 9/3/24 | | $ | 3,207,500 | |
| | 5,512,000 | | | 5.500% due 9/3/24 | | | 5,512,000 | |
| | 6,784,375 | | | 5.510% due 9/4/24 | | | 6,784,375 | |
| | | | Barclays Capital Inc.: | | | | |
| | 1,810,500 | | | 5.550% due 9/5/24 | | | 1,810,500 | |
| | | | Nomura Securities International, Inc.: | | | | |
| | 29,699,683 | | | 5.490% due 9/3/24 | | | 29,699,683 | |
| | 31,260,205 | | | 5.470% due 9/10/24 | | | 31,260,205 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $78,274,263) | | $ | 78,274,263 | |
| | | | | | | | |
For the year ended August 31, 2024, the daily average borrowing and interest rate under the reverse repurchase agreements were $37,662,698 and 5.439%, respectively.
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
260
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2024, Inflation-Linked Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Australian Government 10-Year Bond Futures | | | 22 | | | | 9/24 | | | $ | 1,695,073 | | | $ | 1,735,639 | | | $ | 40,566 | |
Euro-Bobl Futures | | | 13 | | | | 9/24 | | | | 1,695,241 | | | | 1,691,018 | | | | (4,223 | ) |
Euro-BTP Futures | | | 14 | | | | 9/24 | | | | 1,802,503 | | | | 1,839,668 | | | | 37,165 | |
Euro-Bund Futures | | | 19 | | | | 9/24 | | | | 2,772,668 | | | | 2,812,586 | | | | 39,918 | |
U.S. Treasury Long Bond Futures | | | 4 | | | | 12/24 | | | | 498,875 | | | | 492,500 | | | | (6,375 | ) |
U.S. Ultra Long Bond Futures | | | 58 | | | | 12/24 | | | | 6,864,906 | | | | 6,811,375 | | | | (53,531 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 53,520 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Euro-Buxl 30-Year Bond Futures | | | 11 | | | | 12/24 | | | | 1,641,240 | | | | 1,637,216 | | | | 4,024 | |
Euro-OAT Futures | | | 32 | | | | 12/24 | | | | 4,461,066 | | | | 4,461,420 | | | | (354 | ) |
Euro-Schatz Note Futures | | | 80 | | | | 12/24 | | | | 9,435,662 | | | | 9,431,699 | | | | 3,963 | |
Short Euro-BTP Futures | | | 15 | | | | 9/24 | | | | 1,740,863 | | | | 1,759,987 | | | | (19,124 | ) |
U.S. Treasury 2-Year Note Futures | | | 101 | | | | 12/24 | | | | 20,957,942 | | | | 20,962,235 | | | | (4,293 | ) |
U.S. Treasury 5-Year Note Futures | | | 16 | | | | 12/24 | | | | 1,751,250 | | | | 1,750,375 | | | | 875 | |
U.S. Treasury 10-Year Note Futures | | | 122 | | | | 12/24 | | | | 13,884,172 | | | | 13,854,625 | | | | 29,547 | |
U.S. Treasury Ultra Long Bond Futures | | | 39 | | | | 12/24 | | | | 5,189,364 | | | | 5,145,563 | | | | 43,801 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 58,439 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 111,959 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2024, Inflation-Linked Fixed Income Fund had deposited cash of $734,000 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
At August 31, 2024, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Danish Krone | | | 199,162 | | | | USD | | | | 29,723 | | | | JPM | | | $ | 29,516 | | | | 9/3/24 | | | $ | (207 | ) |
Japanese Yen | | | 87,388,035 | | | | USD | | | | 603,717 | | | | HSBC | | | | 597,873 | | | | 9/3/24 | | | | (5,844 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (6,051 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 92,000 | | | | USD | | | | 62,587 | | | | BCLY | | | | 62,305 | | | | 10/2/24 | | | | 282 | |
Australian Dollar | | | 57,000 | | | | USD | | | | 37,487 | | | | DUB | | | | 38,575 | | | | 9/3/24 | | | | (1,088 | ) |
Australian Dollar | | | 35,000 | | | | USD | | | | 22,762 | | | | HSBC | | | | 23,686 | | | | 9/3/24 | | | | (924 | ) |
British Pound | | | 84,000 | | | | USD | | | | 110,817 | | | | BCLY | | | | 110,351 | | | | 10/2/24 | | | | 466 | |
British Pound | | | 84,000 | | | | USD | | | | 108,047 | | | | BNP | | | | 110,322 | | | | 9/3/24 | | | | (2,275 | ) |
Canadian Dollar | | | 597,408 | | | | USD | | | | 431,937 | | | | HSBC | | | | 443,264 | | | | 9/3/24 | | | | (11,327 | ) |
Canadian Dollar | | | 597,133 | | | | USD | | | | 443,346 | | | | SCB | | | | 443,455 | | | | 10/2/24 | | | | (109 | ) |
Danish Krone | | | 239,123 | | | | USD | | | | 34,764 | | | | DUB | | | | 35,438 | | | | 9/3/24 | | | | (674 | ) |
See Notes to Financial Statements.
261
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Danish Krone | | | 73,663 | | | | USD | | | | 10,687 | | | | DUB | | | $ | 10,917 | | | | 9/3/24 | | | $ | (230 | ) |
Danish Krone | | | 151,415 | | | | USD | | | | 22,022 | | | | HSBC | | | | 22,440 | | | | 9/3/24 | | | | (418 | ) |
Danish Krone | | | 198,832 | | | | USD | | | | 29,723 | | | | JPM | | | | 29,514 | | | | 10/2/24 | | | | 209 | |
Danish Krone | | | 264,611 | | | | USD | | | | 39,387 | | | | SCB | | | | 39,279 | | | | 10/2/24 | | | | 108 | |
Euro | | | 7,769,000 | | | | USD | | | | 8,435,006 | | | | SCB | | | | 8,588,241 | | | | 9/3/24 | | | | (153,235 | ) |
Euro | | | 7,769,000 | | | | USD | | | | 8,632,805 | | | | SCB | | | | 8,599,259 | | | | 10/2/24 | | | | 33,546 | |
Japanese Yen | | | 86,155,597 | | | | USD | | | | 560,600 | | | | BCLY | | | | 589,440 | | | | 9/3/24 | | | | (28,840 | ) |
Japanese Yen | | | 125,637,627 | | | | USD | | | | 816,483 | | | | BNP | | | | 859,560 | | | | 9/3/24 | | | | (43,077 | ) |
Japanese Yen | | | 123,394,256 | | | | USD | | | | 856,973 | | | | BNP | | | | 847,659 | | | | 10/2/24 | | | | 9,314 | |
Japanese Yen | | | 87,020,613 | | | | USD | | | | 603,717 | | | | HSBC | | | | 597,790 | | | | 10/2/24 | | | | 5,927 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (192,345 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (198,396 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 6-Month EURIBOR | | | 0.197% | | | | 11/8/52 | | | | 12-Month | | | | EUR | | | | 1,400,000 | | | $ | 696,081 | | | $ | — | | | $ | 696,081 | |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (20,276) | | | | — | | | | (20,276 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (19,793) | | | | — | | | | (19,793 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | | 12-Month | | | | EUR | | | | 200,000 | | | | (13,257) | | | | — | | | | (13,257 | ) |
| Receive | | 6-Month EURIBOR | | | 2.250% | | | | 3/19/55 | | | | 12-Month | | | | EUR | | | | 400,000 | | | | 4,592 | | | | 4,110 | | | | 482 | |
| Pay | | 6-Month EURIBOR | | | 2.500% | | | | 3/19/35 | | | | 12-Month | | | | EUR | | | | 1,200,000 | | | | 3,396 | | | | 3,674 | | | | (278 | ) |
| Receive | | 6-Month EURIBOR | | | 2.500% | | | | 9/18/54 | | | | 12-Month | | | | EUR | | | | 2,400,000 | | | | (93,288) | | | | (132,566) | | | | 39,278 | |
| Pay | | 6-Month EURIBOR | | | 2.750% | | | | 9/18/34 | | | | 12-Month | | | | EUR | | | | 10,160,000 | | | | 238,051 | | | | 91,224 | | | | 146,827 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | | JPY | | | | 5,590,000 | | | | 286 | | | | (1,139) | | | | 1,425 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.500% | | | | 12/15/31 | | | | 12-Month | | | | JPY | | | | 75,000,000 | | | | 6,717 | | | | 1,442 | | | | 5,275 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.550% | | | | 9/14/28 | | | | 12-Month | | | | JPY | | | | 90,000,000 | | | | (2,904) | | | | (1,033) | | | | (1,871 | ) |
| Receive | | Euro Short-Term Rate Market Index | | | 3.475% | | | | 2/26/25 | | | | PAM | | | | EUR | | | | 23,800,000 | | | | 23,026 | | | | 4,691 | | | | 18,335 | |
| Receive | | SOFR | | | 2.237% | | | | 11/21/53 | | | | 6-Month | | | | USD | | | | 810,000 | | | | 212,239 | | | | — | | | | 212,239 | |
| Pay | | SOFR | | | 2.340% | | | | 11/21/28 | | | | 6-Month | | | | USD | | | | 4,130,000 | | | | (204,025) | | | | — | | | | (204,025 | ) |
| Receive | | SOFR | | | 2.865% | | | | 2/13/54 | | | | 12-Month | | | | USD | | | | 1,400,000 | | | | 160,076 | | | | 27,102 | | | | 132,974 | |
| Pay | | SOFR | | | 3.085% | | | | 2/13/34 | | | | 12-Month | | | | USD | | | | 1,500,000 | | | | (63,349) | | | | (13,946) | | | | (49,403 | ) |
| Receive | | SOFR | | | 3.500% | | | | 6/20/54 | | | | 12-Month | | | | USD | | | | 700,000 | | | | (11,331) | | | | 18,675 | | | | (30,006 | ) |
| Receive | | SOFR | | | 4.250% | | | | 12/20/25 | | | | 12-Month | | | | USD | | | | 7,740,000 | | | | 40,654 | | | | (28,248) | | | | 68,902 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 956,895 | | | $ | (26,014) | | | $ | 982,909 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 2-Year EUR Inflation Linked | | | 3.520% | | | | 9/15/24 | | | | EUR | | | | 200,000 | | | $ | (1,881 | ) | | $ | (516 | ) | | $ | (1,365 | ) |
| Pay | | 2-Year EUR Inflation Linked | | | 3.720% | | | | 9/15/24 | | | | EUR | | | | 300,000 | | | | (1,447 | ) | | | (654 | ) | | | (793 | ) |
| Pay | | 2-Year EUR Inflation Linked | | | 3.850% | | | | 9/15/24 | | | | EUR | | | | 400,000 | | | | (736 | ) | | | — | | | | (736 | ) |
| Receive | | 5-Year EUR Inflation Linked | | | 3.000% | | | | 5/15/27 | | | | EUR | | | | 200,000 | | | | 3,047 | | | | 100 | | | | 2,947 | |
See Notes to Financial Statements.
262
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.380% | | | | 3/15/31 | | | | EUR | | | | 840,000 | | | $ | (166,857 | ) | | $ | (9,502 | ) | | $ | (157,355 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | (126,274 | ) | | | 93,051 | | | | (219,325 | ) |
| Receive | | 10-Year EUR Inflation Linked | | | 2.600% | | | | 5/15/32 | | | | EUR | | | | 60,000 | | | | 268 | | | | (163 | ) | | | 431 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.720% | | | | 6/15/32 | | | | EUR | | | | 500,000 | | | | (13,853 | ) | | | (4,228 | ) | | | (9,625 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 2.421% | | | | 5/15/52 | | | | EUR | | | | 30,000 | | | | (692 | ) | | | — | | | | (692 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 2.590% | | | | 3/15/52 | | | | EUR | | | | 200,000 | | | | 3,782 | | | | (2,478 | ) | | | 6,260 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.590% | | | | 12/15/52 | | | | EUR | | | | 100,000 | | | | 8,711 | | | | — | | | | 8,711 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.700% | | | | 4/15/53 | | | | EUR | | | | 200,000 | | | | 27,736 | | | | 1,337 | | | | 26,399 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.736% | | | | 10/15/53 | | | | EUR | | | | 100,000 | | | | 15,373 | | | | 1,308 | | | | 14,065 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.763% | | | | 9/15/53 | | | | EUR | | | | 100,000 | | | | 16,251 | | | | (974 | ) | | | 17,225 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.500% | | | | 8/15/34 | | | | GBP | | | | 600,000 | | | | 1,471 | | | | 3,390 | | | | (1,919 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 2.510% | | | | 9/8/24 | | | | USD | | | | 300,000 | | | | (1,313 | ) | | | — | | | | (1,313 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 2.560% | | | | 9/12/24 | | | | USD | | | | 400,000 | | | | (1,522 | ) | | | — | | | | (1,522 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 2.565% | | | | 9/12/24 | | | | USD | | | | 400,000 | | | | (1,502 | ) | | | — | | | | (1,502 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.703% | | | | 5/25/26 | | | | USD | | | | 510,000 | | | | 40,953 | | | | 81 | | | | 40,872 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.767% | | | | 5/13/26 | | | | USD | | | | 500,000 | | | | 39,083 | | | | — | | | | 39,083 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.813% | | | | 5/14/26 | | | | USD | | | | 300,000 | | | | 22,705 | | | | — | | | | 22,705 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.797% | | | | 8/25/27 | | | | USD | | | | 600,000 | | | | 91,765 | | | | 5,868 | | | | 85,897 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.890% | | | | 8/27/27 | | | | USD | | | | 700,000 | | | | 102,297 | | | | 1,693 | | | | 100,604 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.573% | | | | 8/26/28 | | | | USD | | | | 100,000 | | | | 6,313 | | | | — | | | | 6,313 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.645% | | | | 9/10/28 | | | | USD | | | | 100,000 | | | | 5,526 | | | | — | | | | 5,526 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.280% | | | | 5/19/30 | | | | USD | | | | 800,000 | | | | (163,128 | ) | | | (50,027 | ) | | | (113,101 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.760% | | | | 11/4/29 | | | | USD | | | | 1,200,000 | | | | (187,986 | ) | | | (8,764 | ) | | | (179,222 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.883% | | | | 11/20/29 | | | | USD | | | | 1,500,000 | | | | (217,294 | ) | | | 9,233 | | | | (226,527 | ) |
| Receive | | 10-Year USD Inflation Linked | | | 2.311% | | | | 2/24/31 | | | | USD | | | | 2,300,000 | | | | 248,601 | | | | 1,035 | | | | 247,566 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 960,000 | | | | (90,499 | ) | | | 59,292 | | | | (149,791 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.353% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | (32,334 | ) | | | 24,122 | | | | (56,456 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | (48,061 | ) | | | 36,670 | | | | (84,731 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | (48,752 | ) | | | 37,569 | | | | (86,321 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (470,249 | ) | | $ | 197,443 | | | $ | (667,692 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2024, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $535,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| CAD | | — Canadian Dollar | | BNP | | — BNP Paribas SA |
| DKK | | — Danish Krone | | DUB | | — Deutsche Bank AG |
| EUR | | — Euro | | HSBC | | — HSBC Bank USA |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| JPY | | — Japanese Yen | | SCB | | — Standard Chartered Bank |
| NOK | | — Norwegian Krone | | WFSL | | — Wells Fargo Securities, LLC. |
| NZD | | — New Zealand Dollar | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
263
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 47.1% | |
|
| Aerospace/Defense — 1.0% | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| $ | 2,900,000 | | | BBB- | | 4.875% due 5/1/25 | | $ | 2,888,362 | |
| | 400,000 | | | BBB- | | 2.600% due 10/30/25 | | | 389,134 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 3,277,496 | |
| | | | | | | | | | |
|
| Agriculture — 1.4% | |
| | 1,200,000 | | | BBB | | Imperial Brands Finance PLC, Company Guaranteed Notes, 3.500% due 7/26/26(a) | | | 1,170,091 | |
| | 3,172,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 4.450% due 6/12/25 | | | 3,156,159 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 4,326,250 | |
| | | | | | | | | | |
|
| Airlines — 0.6% | |
| | 2,000,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 2.900% due 10/28/24 | | | 1,990,830 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 6.8% | |
| | | | | | American Honda Finance Corp., Senior Unsecured Notes: | | | | |
| | 3,000,000 | | | A- | | 5.916% (SOFR + 0.550%) due 2/12/25(b) | | | 3,003,117 | |
| | 1,000,000 | | | A- | | 6.150% (SOFR + 0.780%) due 4/23/25(b) | | | 1,002,823 | |
| | 1,200,000 | | | A | | BMW US Capital LLC, Company Guaranteed Notes, 6.166%
(SOFR + 0.800%) due 8/13/26(a)(b) | | | 1,206,826 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 2,000,000 | | | BBB- | | 2.300% due 2/10/25 | | | 1,971,780 | |
| | 1,000,000 | | | BBB- | | 4.687% due 6/9/25 | | | 995,256 | |
| | 300,000 | | | BBB- | | 5.125% due 6/16/25 | | | 299,268 | |
| | 400,000 | | | BBB- | | 4.134% due 8/4/25 | | | 395,727 | |
| | 600,000 | | | BBB- | | 4.389% due 1/ 8/26 | | | 593,020 | |
| | 400,000 | | | BBB | | General Motors Co., Senior Unsecured Notes, 4.000% due 4/1/25 | | | 396,898 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | 1,000,000 | | | BBB | | Company Guaranteed Notes, 4.350% due 4/9/25 | | | 994,868 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | BBB | | 2.900% due 2/26/25 | | | 1,581,239 | |
| | 300,000 | | | BBB | | 3.800% due 4/7/25 | | | 297,366 | |
| | 200,000 | | | BBB | | 6.670% (SOFR + 1.300%) due 4/7/25(b) | | | 200,898 | |
| | 500,000 | | | BBB | | 6.716% (SOFR + 1.350%) due 5/8/27(b) | | | 503,920 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 2,600,000 | | | A- | | 6.516% (SOFR + 1.150%) due 8/4/25(a)(b) | | | 2,612,336 | |
| | 700,000 | | | A- | | 6.871% (SOFR + 1.500%) due 1/8/27(a)(b) | | | 709,072 | |
| | 900,000 | | | A | | Mercedes-Benz Finance North America LLC, Company Guaranteed Notes, 5.998%
(SOFR + 0.630%) due 7/31/26(a)(b) | | | 901,608 | |
| | | | | | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BB+ | | 2.000% due 3/9/26 | | | 1,424,864 | |
| | 400,000 | | | BB+ | | 2.000% due 3/9/26(a) | | | 379,964 | |
| | | | | | Nissan Motor Co., Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 3.522% due 9/17/25 | | | 196,106 | |
| | 900,000 | | | BB+ | | 3.522% due 9/17/25(a) | | | 882,479 | |
| | 1,000,000 | | | BBB+ | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 6.200%
(SOFR + 0.830%) due 3/20/26(a)(b) | | | 1,000,508 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 21,549,943 | |
| | | | | | | | | | |
|
| Auto Parts & Equipment — 0.6% | |
| | 2,000,000 | | | BBB | | Aptiv PLC/Aptiv Corp., Company Guaranteed Notes, 2.396% due 2/18/25 | | | 1,971,931 | |
| | | | | | | | | | |
|
| Banks — 19.4% | |
| | 600,000 | | | BBB | | ABN AMRO Bank NV, Senior Non-Preferred Notes, 7.150%
(SOFR + 1.780%) due 9/18/27(a)(b) | | | 609,418 | |
| | 1,000,000 | | | BBB | | Aozora Bank Ltd., Senior Unsecured Notes, 1.050% due 9/9/24 | | | 999,348 | |
See Notes to Financial Statements.
264
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 19.4% — (continued) | |
| | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | |
| $ | 900,000 | | | A- | | 3.093% (3-Month Term SOFR + 1.352%) due 10/1/25(b) | | $ | 898,229 | |
| | 200,000 | | | A- | | 2.456% (3-Month Term SOFR + 1.132%) due 10/22/25(b) | | | 199,148 | |
| | 500,000 | | | A- | | 3.366% (3-Month Term SOFR + 1.072%) due 1/23/26(b) | | | 495,944 | |
| | 1,200,000 | | | A- | | 6.274% (3-Month Term SOFR + 1.032%) due 2/5/26(b) | | | 1,202,523 | |
| | 1,200,000 | | | A- | | 3.384% (SOFR + 1.330%) due 4/2/26(b) | | | 1,187,066 | |
| | 200,000 | | | A- | | 6.700% (SOFR + 1.330%) due 4/2/26(b) | | | 201,235 | |
| | 200,000 | | | A+ | | Banque Federative du Credit Mutuel SA, Senior Preferred Notes, 6.770%
(SOFR + 1.400%) due 7/13/26(a)(b) | | | 202,539 | |
| | 1,800,000 | | | BBB+ | | Barclays PLC, Senior Unsecured Notes, 2.852% (SOFR + 2.714%) due 5/7/26(b) | | | 1,769,737 | |
| | | | | | BNP Paribas SA, Senior Non-Preferred Notes: | | | | |
| | 2,325,000 | | | A- | | 3.375% due 1/9/25(a) | | | 2,307,931 | |
| | 1,200,000 | | | A- | | 2.819% (3-Month Term SOFR + 1.373%) due 11/19/25(a)(b) | | | 1,192,967 | |
| | 700,000 | | | A- | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 6.591%
(SOFR + 1.220%) due 10/2/26(b) | | | 706,950 | |
| | 250,000 | | | A+ | | Citibank NA, Senior Unsecured Notes, 6.075% (SOFR + 0.708%) due 8/6/26(b) | | | 250,433 | |
| | 4,400,000 | | | BBB+ | | Citigroup Inc., Senior Unsecured Notes, 3.106% (SOFR + 2.842%) due 4/8/26(b) | | | 4,342,790 | |
| | 500,000 | | | A- | | Cooperatieve Rabobank UA, Senior Non-Preferred Notes, 1.980%
(1-Year CMT Index + 0.730%) due 12/15/27(a)(b) | | | 470,520 | |
| | 2,200,000 | | | BBB+ | | Danske Bank AS, Senior Non-Preferred Notes, 6.466%
(1-Year CMT Index + 2.100%) due 1/9/26(a)(b) | | | 2,208,197 | |
| | | | | | Deutsche Bank AG, Senior Non-Preferred Notes: | | | | |
| | 2,100,000 | | | BBB | | 3.961% (SOFR + 2.581%) due 11/26/25(b) | | | 2,091,621 | |
| | 1,600,000 | | | BBB | | 6.119% (SOFR + 3.190%) due 7/14/26(b) | | | 1,610,035 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 357,000 | | | BBB+ | | 5.700% due 11/1/24 | | | 357,112 | |
| | 1,200,000 | | | BBB+ | | 3.272% (3-Month Term SOFR + 1.463%) due 9/29/25(b) | | | 1,197,590 | |
| | 1,639,000 | | | BBB+ | | 6.431% (SOFR + 1.065%) due 8/10/26(b) | | | 1,643,089 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 2,300,000 | | | A- | | 2.633% (3-Month Term SOFR + 1.402%) due 11/7/25(b) | | | 2,288,087 | |
| | 200,000 | | | A- | | 2.999% (SOFR + 1.430%) due 3/10/26(b) | | | 197,647 | |
| | 400,000 | | | A- | | 6.799% (SOFR + 1.430%) due 3/10/26(b) | | | 401,588 | |
| | 1,000,000 | | | A- | | 6.985% (3-Month Term SOFR + 1.642%) due 9/12/26(b) | | | 1,009,979 | |
| | | | | | ING Groep NV, Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | A- | | 7.011% (SOFR + 1.640%) due 3/28/26(b) | | | 1,609,944 | |
| | 1,900,000 | | | A- | | 6.381% (SOFR + 1.010%) due 4/1/27(b) | | | 1,902,425 | |
| | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | |
| | 1,800,000 | | | A- | | 2.301% (SOFR + 1.160%) due 10/15/25(b) | | | 1,792,902 | |
| | 300,000 | | | A- | | 6.286% (SOFR + 0.920%) due 2/24/26(b) | | | 300,606 | |
| | 1,100,000 | | | A- | | 2.005% (3-Month Term SOFR + 1.585%) due 3/13/26(b) | | | 1,081,160 | |
| | | | | | Lloyds Banking Group PLC, Senior Unsecured Notes: | | | | |
| | 900,000 | | | BBB+ | | 2.438% (1-Year CMT Index + 1.000%) due 2/5/26(b) | | | 888,906 | |
| | 900,000 | | | BBB+ | | 4.716% (1-Year CMT Index + 1.750%) due 8/11/26(b) | | | 896,206 | |
| | 1,100,000 | | | BBB+ | | National Bank of Canada, Company Guaranteed Notes, 6.271%
(SOFR + 0.900%) due 3/25/27(b) | | | 1,101,894 | |
| | | | | | NatWest Markets PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A | | 6.820% (SOFR + 1.450%) due 3/22/25(a)(b) | | | 1,006,441 | |
| | 300,000 | | | A | | 6.131% (SOFR + 0.760%) due 9/29/26(a)(b) | | | 299,858 | |
| | 600,000 | | | AA- | | Nordea Bank Abp, Senior Preferred Notes, 6.329% (SOFR + 0.960%) due 6/6/25(a)(b) | | | 602,532 | |
| | 3,000,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.450% due 6/2/25 | | | 2,958,966 | |
| | | | | | Societe Generale SA: | | | | |
| | 500,000 | | | BBB | | Company Guaranteed Notes, 6.419% (SOFR + 1.050%) due 1/21/26(a)(b) | | | 500,522 | |
| | 2,300,000 | | | BBB | | Senior Non-Preferred Notes, 2.625% due 1/22/25(a) | | | 2,274,263 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 355,000 | | | BBB+ | | 3.200% due 4/17/25(a) | | | 350,928 | |
See Notes to Financial Statements.
265
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 19.4% — (continued) | |
| $ | 2,000,000 | | | BBB+ | | 3.971% (1-Year CMT Index + 1.650%) due 3/30/26(a)(b) | | $ | 1,983,180 | |
| | 2,050,000 | | | BBB+ | | 7.111% (SOFR + 1.740%) due 3/30/26(a)(b) | | | 2,060,342 | |
| | 1,000,000 | | | A- | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 6.673%
(SOFR + 1.300%) due 7/13/26(b) | | | 1,013,608 | |
| | 1,000,000 | | | A- | | Swedbank AB, Senior Non-Preferred Notes, 5.337% due 9/20/27 | | | 1,021,412 | |
| | 2,500,000 | | | A+ | | UBS AG, Senior Unsecured Notes, 3.625% due 9/9/24 | | | 2,499,262 | |
| | 400,000 | | | A- | | UBS Group AG, Senior Unsecured Notes, 2.593% (SOFR + 1.560%) due 9/11/25(a)(b) | | | 399,741 | |
| | | | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | |
| | 2,700,000 | | | BBB+ | | 2.406% (3-Month Term SOFR + 1.087%) due 10/30/25(b) | | | 2,685,912 | |
| | 1,600,000 | | | BBB+ | | 2.164% (3-Month Term SOFR + 1.012%) due 2/11/26(b) | | | 1,578,294 | |
| | 400,000 | | | BBB+ | | 6.689% (SOFR + 1.320%) due 4/25/26(b) | | | 402,077 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 61,253,104 | |
| | | | | | | | | | |
|
| Beverages — 0.7% | |
| | 2,100,000 | | | BBB- | | JDE Peet’s NV, Company Guaranteed Notes, 0.800% due 9/24/24(a) | | | 2,094,039 | |
| | | | | | | | | | |
|
| Commercial Services — 0.9% | |
| | 3,000,000 | | | BBB | | Equifax Inc., Senior Unsecured Notes, 2.600% due 12/1/24 | | | 2,979,008 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 5.1% | |
| | 2,600,000 | | | BBB+ | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.500% due 1/15/25 | | | 2,581,766 | |
| | 3,000,000 | | | BBB- | | Ally Financial Inc., Senior Unsecured Notes, 5.125% due 9/30/24 | | | 2,997,980 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 6.016% (SOFR + 0.650%) due 11/4/26(b) | | | 1,000,772 | |
| | 1,200,000 | | | BBB+ | | 6.298% (SOFR + 0.930%) due 7/26/28(b) | | | 1,203,616 | |
| | 1,200,000 | | | BBB- | | Aviation Capital Group LLC, Senior Unsecured Notes, 5.500% due 12/15/24(a) | | | 1,198,057 | |
| | | | | | Avolon Holdings Funding Ltd.: | | | | |
| | 1,500,000 | | | BBB- | | Company Guaranteed Notes, 2.875% due 2/15/25(a) | | | 1,480,691 | |
| | 1,100,000 | | | BBB- | | Senior Unsecured Notes, 2.125% due 2/21/26(a) | | | 1,052,268 | |
| | 800,000 | | | A- | | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(a) | | | 796,717 | |
| | 3,700,000 | | | BBB+ | | Nomura Holdings Inc., Senior Unsecured Notes, 2.648% due 1/16/25 | | | 3,663,687 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 15,975,554 | |
| | | | | | | | | | |
|
| Electric — 1.7% | |
| | | | | | Enel Finance International NV: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB | | 2.650% due 9/10/24(a) | | | 999,382 | |
| | 1,000,000 | | | BBB | | 2.650% due 9/10/24 | | | 999,382 | |
| | 921,000 | | | BBB | | Senior Unsecured Notes, 4.500% due 6/15/25(a) | | | 915,852 | |
| | 2,500,000 | | | BBB+ | | Israel Electric Corp., Ltd., Senior Secured Notes, 5.000% due 11/12/24(a) | | | 2,499,940 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 5,414,556 | |
| | | | | | | | | | |
|
| Healthcare — Products — 0.4% | |
| | 1,255,000 | | | BBB | | Baxter International Inc., Senior Unsecured Notes, 1.322% due 11/29/24 | | | 1,242,792 | |
| | | | | | | | | | |
|
| Healthcare — Services — 1.1% | |
| | | | | | HCA Inc., Company Guaranteed Notes: | | | | |
| | 400,000 | | | BBB- | | 5.375% due 2/1/25 | | | 399,502 | |
| | 2,600,000 | | | BBB- | | 5.250% due 4/15/25 | | | 2,599,040 | |
| | 600,000 | | | A+ | | UnitedHealth Group Inc., Senior Unsecured Notes, 5.864% (SOFR + 0.500%) due 7/15/26(b) | | | 601,985 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 3,600,527 | |
| | | | | | | | | | |
|
| Insurance — 2.0% | |
| | | | | | Athene Global Funding: | | | | |
| | 2,700,000 | | | A+ | | Secured Notes, 6.581% (SOFR + 1.210%) due 3/25/27(a)(b) | | | 2,711,100 | |
| | 300,000 | | | A+ | | Senior Secured Notes, 6.216% (SOFR + 0.850%) due 5/8/26(a)(b) | | | 299,456 | |
| | 200,000 | | | A- | | CNO Global Funding, Secured Notes, 1.650% due 1/6/25(a) | | | 197,225 | |
See Notes to Financial Statements.
266
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Insurance — 2.0% — (continued) | |
| | | | | | GA Global Funding Trust, Secured Notes: | | | | |
| $ | 1,200,000 | | | A- | | 0.800% due 9/13/24(a) | | $ | 1,198,325 | |
| | 800,000 | | | A- | | 3.850% due 4/11/25(a) | | | 793,163 | |
| | 1,025,000 | | | A- | | 6.730% (SOFR + 1.360%) due 4/11/25(a)(b) | | | 1,029,756 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 6,229,025 | |
| | | | | | | | | | |
|
| Leisure Time — 0.2% | |
| | 500,000 | | | BBB- | | Harley-Davidson Financial Services Inc., Company Guaranteed Notes, 3.350% due 6/8/25(a) | | | 491,598 | |
| | | | | | | | | | |
|
| Oil & Gas — 0.5% | |
| | 1,500,000 | | | BBB+ | | Woodside Finance Ltd., Company Guaranteed Notes, 3.650% due 3/5/25(a) | | | 1,487,621 | |
| | | | | | | | | | |
|
| Packaging & Containers — 0.2% | |
| | 519,000 | | | BBB- | | Berry Global Inc., Senior Secured Notes, 4.875% due 7/15/26(a) | | | 514,606 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 1.0% | |
| | 1,900,000 | | | BBB | | Bayer US Finance II LLC, Company Guaranteed Notes, 4.250% due 12/15/25(a) | | | 1,878,130 | |
| | 1,300,000 | | | BBB | | Bayer US Finance LLC, Company Guaranteed Notes, 3.375% due 10/8/24 | | | 1,296,734 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 3,174,864 | |
| | | | | | | | | | |
|
| Pipelines — 1.2% | |
| | | | | | Energy Transfer LP, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | 4.050% due 3/15/25 | | | 993,364 | |
| | 1,600,000 | | | BBB | | 2.900% due 5/15/25 | | | 1,574,428 | |
| | 1,192,000 | | | BBB+ | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 3/1/25 | | | 1,192,733 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 3,760,525 | |
| | | | | | | | | | |
|
| Semiconductors — 0.4% | |
| | | | | | Renesas Electronics Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 1.543% due 11/26/24 | | | 198,134 | |
| | 200,000 | | | BBB | | 1.543% due 11/26/24(a) | | | 198,134 | |
| | | | | | SK Hynix Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 6.250% due 1/17/26 | | | 407,314 | |
| | 300,000 | | | BBB | | 5.500% due 1/16/27(a) | | | 304,922 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 1,108,504 | |
| | | | | | | | | | |
|
| Shipbuilding — 0.9% | |
| | 3,000,000 | | | BBB- | | Huntington Ingalls Industries Inc., Company Guaranteed Notes, 3.844% due 5/1/25 | | | 2,972,119 | |
| | | | | | | | | | |
|
| Software — 1.0% | |
| | 3,000,000 | | | BBB | | VMware LLC, Senior Unsecured Notes, 4.500% due 5/15/25 | | | 2,988,684 | |
| | | | | | | | | | |
|
| Telecommunications — 0.0%@ | |
| | 100,000 | | | BBB | | T-Mobile USA Inc., Company Guaranteed Notes, 3.500% due 4/15/25 | | | 98,940 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $148,020,505) | | | 148,502,516 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 23.1% | |
| | 499,688 | | | Aaa(c) | | ACREC LLC, Series 2023-FL2, Class A, 7.567%
(1-Month Term SOFR + 2.230%) due 2/19/38(a)(b) | | | 501,132 | |
| | 200,000 | | | Aaa(c) | | AG Trust, Series 2024-NLP, Class A, 7.316%
(1-Month Term SOFR + 2.016%) due 7/15/41(a)(b) | | | 200,461 | |
| | 1,200,000 | | | Aaa(c) | | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR3, 6.765%
(3-Month Term SOFR + 1.440%) due 4/22/34(a)(b) | | | 1,201,794 | |
| | 1,097,665 | | | Aaa(c) | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class A, 6.521%
(1-Month Term SOFR + 1.184%) due 8/15/34(a)(b) | | | 1,094,924 | |
| | 228,225 | | | Aaa(c) | | ARES L CLO Ltd., Series 2018-50A, Class AR, 6.613%
(3-Month Term SOFR + 1.312%) due 1/15/32(a)(b) | | | 228,623 | |
See Notes to Financial Statements.
267
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 23.1% — (continued) | |
| $ | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 6.584%
(1-Month Term SOFR + 1.247%) due 6/15/35(a)(b) | | $ | 697,713 | |
| | 1,000,000 | | | NR | | BAMLL Commercial Mortgage Securities Trust, Series 2020-BHP3, Class A, 7.351%
(1-Month Term SOFR + 2.014%) due 3/15/37(a)(b) | | | 997,829 | |
| | 704,121 | | | AAA(d) | | Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1, step bond to yield,
5.903% due 1/25/64(a) | | | 726,978 | |
| | 212,126 | | | BBB- | | Bear Stearns Asset Backed Securities I Trust, Series 2005-CL1, Class A2, 3.525%
(1-Month Term SOFR + 0.614%) due 9/25/34(b) | | | 208,081 | |
| | 500,122 | | | AAA | | BlueMountain CLO Ltd., Series 2018-3A, Class A1R, 6.475%
(3-Month Term SOFR + 1.190%) due 10/25/30(a)(b) | | | 500,835 | |
| | 1,600,000 | | | NR | | BWAY Mortgage Trust, Series 2021-1450, Class A, 6.701%
(1-Month Term SOFR + 1.364%) due 9/15/36(a)(b) | | | 1,527,658 | |
| | 1,081,114 | | | Aaa(c) | | BXMT Ltd., Series 2020-FL3, Class A, 6.853%
(1-Month Term SOFR + 1.514%) due 11/15/37(a)(b) | | | 1,058,924 | |
| | 551,264 | | | AAA | | CARLYLE US CLO Ltd., Series 2018-2A, Class A1R, 6.451%
(3-Month Term SOFR + 1.150%) due 10/15/31(a)(b) | | | 551,968 | |
| | 2,700,000 | | | AAA | | Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, 6.631%
(1-Month Term SOFR + 1.294%) due 10/15/36(a)(b) | | | 2,676,010 | |
| | 1,452,757 | | | Aaa(c) | | Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A11, 5.000%
(30-Day Average SOFR + 0.850%) due 5/25/51(a)(b) | | | 1,348,921 | |
| | 584,027 | | | Aaa(c) | | CNH Equipment Trust, Series 2023-B, Class A2, 5.900% due 2/16/27 | | | 585,566 | |
| | 1,315,325 | | | NR | | COMM Mortgage Trust, Series 2021-2400, Class A, 6.751%
(1-Month Term SOFR + 1.414%) due 12/15/38(a)(b) | | | 1,255,951 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 226,861 | | | AAA | | Series 2021-INV1, Class A11, 5.000%
(30-Day Average SOFR + 0.800%) due 7/25/56(a)(b) | | | 210,889 | |
| | 662,740 | | | NR | | Series 2021-RPL4, Class A1, 4.068% due 12/27/60(a)(b) | | | 666,138 | |
| | 165,185 | | | AAA(d) | | Series 2022-RPL4, Class A1, 3.904% due 4/25/62(a)(b) | | | 158,468 | |
| | 46,814 | | | B- | | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 6.247%
(1-Month Term SOFR + 0.969%) due 8/25/34(b) | | | 46,817 | |
| | 259,912 | | | Aaa(c) | | DLLAA LLC, Series 2023-1A, Class A2, 5.930% due 7/20/26(a) | | | 260,928 | |
| | 1,000,000 | | | Aaa(c) | | DLLAD LLC, Series 2024-1A, Class A2, 5.500% due 8/20/27(a) | | | 1,006,489 | |
| | 1,000,000 | | | Aaa(c) | | DLLST LLC, Series 2024-1A, Class A2, 5.330% due 1/20/26(a) | | | 1,000,248 | |
| | 403,436 | | | AAA(d) | | Dryden 38 Senior Loan Fund, Series 2015-38A, Class ARR, 6.451%
(3-Month Term SOFR + 1.150%) due 7/15/30(a)(b) | | | 404,114 | |
| | 441,809 | | | Aaa(c) | | Dryden 54 Senior Loan Fund, Series 2017-54A, Class AR, 6.429%
(3-Month Term SOFR + 1.150%) due 10/19/29(a)(b) | | | 442,157 | |
| | 1,889,185 | | | Aaa(c) | | Extended Stay America Trust, Series 2021-ESH, Class A, 6.531%
(1-Month Term SOFR + 1.194%) due 7/15/38(a)(b) | | | 1,882,614 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 400,034 | | | NR | | Series 4344, Class FA, 5.900% (30-Day Average SOFR + 0.564%) due 12/15/37(b) | | | 388,816 | |
| | 511,607 | | | NR | | Series 4351, Class FA, 5.900% (30-Day Average SOFR + 0.564%) due 5/15/38(b) | | | 499,648 | |
| | 976,450 | | | NR | | Series 4906, Class WF, 5.850% (30-Day Average SOFR + 0.514%) due 12/15/38(b) | | | 957,342 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 759,205 | | | NR | | Series 2017-108, Class AF, 5.763% (30-Day Average SOFR + 0.414%) due 1/25/48(b) | | | 744,684 | |
| | 265,520 | | | NR | | Series 2019-9, Class FA, 5.850% (30-Day Average SOFR + 0.514%) due 3/25/49(b) | | | 261,839 | |
| | 138,819 | | | BBB- | | Finance America Mortgage Loan Trust, Series 2004-2, Class M1, 6.217%
(1-Month Term SOFR + 0.939%) due 8/25/34(b) | | | 133,039 | |
| | 89,302 | | | A | | Fremont Home Loan Trust, Series 2005-A, Class M3, 6.127%
(1-Month Term SOFR + 0.849%) due 1/25/35(b) | | | 87,407 | |
| | 548,195 | | | Aaa(c) | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R, 6.653%
(3-Month Term SOFR + 1.352%) due 7/15/31(a)(b) | | | 548,332 | |
| | | | | | GCAT Trust: | | | | |
| | 658,610 | | | AAA | | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(a)(b) | | | 555,989 | |
| | 793,855 | | | AAA(d) | | Series 2022-HX1, Class A1, 2.885% due 12/27/66(a)(b) | | | 738,902 | |
See Notes to Financial Statements.
268
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 23.1% — (continued) | |
| $ | 622,312 | | | AAA | | Goldentree Loan Management US CLO 4 Ltd., Series 2019-4A, Class ARR, 6.433%
(3-Month Term SOFR + 1.150%) due 4/24/31(a)(b) | | $ | 622,565 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 849,443 | | | NR | | Series 2016-H06, Class FD, 6.366% (1-Month Term SOFR + 1.034%) due 7/20/65(b) | | | 850,969 | |
| | 930,175 | | | NR | | Series 2017-H15, Class FE, 6.717% (1-Year Term SOFR + 1.515%) due 7/20/67(b) | | | 942,599 | |
| | 69,337 | | | NR | | Series 2020-17, Class EU, 2.500% due 10/20/49 | | | 60,994 | |
| | 49,512 | | | NR | | Series 2020-21, Class AC, 2.500% due 1/20/49 | | | 44,160 | |
| | 3,047,224 | | | NR | | Series 2021-122, Class FA, 3.000% (30-Day Average SOFR + 0.400%) due 7/20/51(b) | | | 2,644,693 | |
| | 201,321 | | | NR | | Series 2023-H11, Class FC, 6.453% (30-Day Average SOFR + 1.100%) due 5/20/73(b) | | | 203,011 | |
| | 398,415 | | | NR | | Series 2023-H24, Class FA, 6.303% (30-Day Average SOFR + 0.950%) due 10/20/73(b) | | | 402,593 | |
| | 201,262 | | | NR | | Series 2023-H27, Class FD, 6.453% (30-Day Average SOFR + 1.100%) due 11/20/73(b) | | | 205,236 | |
| | 804,678 | | | NR | | Series 2024-H01, Class FB, 6.253% (30-Day Average SOFR + 0.900%) due 1/20/74(b) | | | 810,937 | |
| | 72,334 | | | Aaa(c) | | Greystone CRE Notes Ltd., Series 2019-FL2, Class A, 6.631%
(1-Month Term SOFR + 1.294%) due 9/15/37(a)(b) | | | 72,311 | |
| | 2,500,000 | | | Aaa(c) | | GS Mortgage Securities Corp. Trust, Series 2022-GTWY, Class A, 8.737%
(1-Month Term SOFR + 3.400%) due 8/15/39(a)(b) | | | 2,495,629 | |
| | 1,160,896 | | | AAA(d) | | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1,
1.750% due 12/25/60(a)(b) | | | 1,076,812 | |
| | | | | | GS Mortgage-Backed Securities Trust: | | | | |
| | 710,126 | | | Aaa(c) | | Series 2021-GR2, Class A9, 5.000% (30-Day Average SOFR + 0.850%) due 2/25/52(a)(b) | | | 659,338 | |
| | 240,428 | | | Aaa(c) | | Series 2021-INV1, Class A9, 5.000% (30-Day Average SOFR + 0.850%) due 12/25/51(a)(b) | | | 223,240 | |
| | 700,000 | | | (P)Aaa(c) | | Series 2024-PJ7, Class A25, 6.704% (30-Day Average SOFR + 1.350%) due 11/25/54(a)(b) | | | 701,295 | |
| | 142,929 | | | A- | | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 6.834% (1-Month Term SOFR + 1.497%) due 12/15/31(a)(b) | | | 131,448 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 163,028 | | | Aaa(c) | | Series 2019-INV3, Class A3, 3.500% due 5/25/50(a)(b) | | | 146,523 | |
| | 302,636 | | | Aaa(c) | | Series 2021-12, Class A11, 5.000% (30-Day Average SOFR + 0.850%) due 2/25/52(a)(b) | | | 280,894 | |
| | 365,406 | | | Aaa(c) | | KKR CLO 11 Ltd., Series 11, Class AR, 6.743%
(3-Month Term SOFR + 1.442%) due 1/15/31(a)(b) | | | 365,839 | |
| | 834,295 | | | Aaa(c) | | Kubota Credit Owner Trust, Series 2023-1A, Class A2, 5.400% due 2/17/26(a) | | | 834,146 | |
| | 1,000,000 | | | AAA | | LCM 31 Ltd., Series 31A, Class AR, 6.562%
(3-Month Term SOFR + 1.280%) due 7/20/34(a)(b) | | | 1,002,100 | |
| | 1,154,673 | | | Aaa(c) | | LCM Loan Income Fund I Ltd., Series 1A, Class A, 6.574%
(3-Month Term SOFR + 1.292%) due 4/20/31(a)(b) | | | 1,155,643 | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| | 268,327 | | | NR | | Series 2021-GS5, Class A1, step bond to yield, 2.250% due 7/25/67(a) | | | 268,809 | |
| | 225,883 | | | NR | | Series 2021-SL2, Class A, step bond to yield, 1.875% due 10/25/68(a) | | | 224,825 | |
| | 885,101 | | | Aaa(c) | | M&T Equipment 2023-LEAF1 Notes, Series 2023-1A, Class A2, 6.090% due 7/15/30(a) | | | 887,440 | |
| | 1,580,925 | | | Aaa(c) | | M360 Ltd., Series 2021-CRE3, Class A, 6.926%
(1-Month Term SOFR + 1.614%) due 11/22/38(a)(b) | | | 1,573,012 | |
| | 1,500,000 | | | AAA | | Marathon CLO 14 Ltd., Series 2019-2A, Class A1AR, 6.662%
(3-Month Term SOFR + 1.380%) due 1/20/33(a)(b) | | | 1,500,625 | |
| | 132,324 | | | BBB+ | | MASTR Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 6.092%
(1-Month Term SOFR + 0.814%) due 9/25/34(b) | | | 120,429 | |
| | 363,228 | | | Aaa(c) | | MF1 Ltd., Series 2020-FL4, Class A, 7.151%
(1-Month Term SOFR + 1.814%) due 12/15/35(a)(b) | | | 363,449 | |
| | 306,180 | | | Aaa(c) | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 6.301%
(1-Month Term SOFR + 0.964%) due 7/15/36(a)(b) | | | 304,822 | |
| | | | | | MFA Trust: | | | | |
| | 155,433 | | | AAA | | Series 2020-NQM1, Class A1, 2.479% due 3/25/65(a)(b) | | | 148,947 | |
| | 166,523 | | | AAA | | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(a)(b) | | | 157,402 | |
| | | | | | Mill City Mortgage Loan Trust: | | | | |
| | 442,496 | | | Aaa(c) | | Series 2019-GS2, Class A1, 2.750% due 8/25/59(a)(b) | | | 425,837 | |
| | 314,792 | | | AAA(d) | | Series 2021-NMR1, Class A1, 1.125% due 11/25/60(a)(b) | | | 298,095 | |
See Notes to Financial Statements.
269
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 23.1% — (continued) | |
| | | | | | MMAF Equipment Finance LLC: | | | | |
| $ | 349,365 | | | Aaa(c) | | Series 2023-A, Class A2, 5.790% due 11/13/26(a) | | $ | 350,643 | |
| | 1,000,000 | | | Aaa(c) | | Series 2024-A, Class A2, 5.200% due 9/13/27(a) | | | 1,001,826 | |
| | 363,498 | | | B- | | Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 6.292%
(1-Month Term SOFR + 1.014%) due 5/25/34(b)(e) | | | 371,341 | |
| | 67,789 | | | Aaa(c) | | Mountain View CLO LLC, Series 2017-1A, Class AR, 6.638%
(3-Month Term SOFR + 1.352%) due 10/16/29(a)(b) | | | 67,820 | |
| | 1,600,000 | | | Aaa(c) | | Natixis Commercial Mortgage Securities Trust, Series 2021-APPL, Class A, 6.551%
(1-Month Term SOFR + 1.064%) due 8/15/38(a)(b)(f) | | | 1,507,524 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 147,486 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(b) | | | 144,766 | |
| | 46,232 | | | AAA(d) | | Series 2018-RPL1, Class A1, 3.500% due 12/25/57(a)(b) | | | 44,697 | |
| | 51,333 | | | AA- | | NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 6.052%
(1-Month Term SOFR + 0.774%) due 1/25/36(b) | | | 50,733 | |
| | 396,548 | | | NR | | NYMT Loan Trust, Series 2021-SP1, Class A1, step bond to yield, 4.670% due 8/25/61(a) | | | 398,126 | |
| | 1,800,000 | | | AAA(d) | | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 6.546%
(1-Month Term SOFR + 1.209%) due 11/15/38(a)(b) | | | 1,736,379 | |
| | | | | | OBX Trust: | | | | |
| | 368,360 | | | AAA | | Series 2024-NQM5, Class A1, step bond to yield, 5.988% due 1/25/64(a) | | | 372,870 | |
| | 670,565 | | | AAA | | Series 2024-NQM6, Class A1, step bond to yield, 6.447% due 2/25/64(a) | | | 682,376 | |
| | 462,572 | | | Aaa(c) | | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class AR, 6.432%
(3-Month Term SOFR + 1.150%) due 10/20/30(a)(b) | | | 463,343 | |
| | 1,791,939 | | | AAA(d) | | OSD CLO Ltd., Series 2021-23A, Class A, 6.417%
(3-Month Term SOFR + 1.132%) due 4/17/31(a)(b) | | | 1,793,565 | |
| | 54,843 | | | NR | | Pagaya AI Debt Trust, Series 2024-1, Class A, 6.660% due 7/15/31(a) | | | 55,596 | |
| | 1,500,000 | | | AAA | | PFS Financing Corp., Series 2023-D, Class A, 6.504%
(30-Day Average SOFR + 1.150%) due 8/15/27(a)(b) | | | 1,511,736 | |
| | 647,213 | | | Aaa(c) | | Regatta XV Funding Ltd., Series 2018-4A, Class A1R, 6.485%
(3-Month Term SOFR + 1.200%) due 10/25/31(a)(b) | | | 648,086 | |
| | 473,732 | | | AAA | | Resimac Bastille Trust, Series 2021-2NCA, Class A1A, 6.117%
(1-Month Term SOFR + 0.764%) due 2/3/53(a)(b) | | | 472,975 | |
| | 21,309 | | | AAA | | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.810% due 5/15/31(a) | | | 21,362 | |
| | 600,000 | | | AAA | | Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1R, 6.565%
(3-Month Term SOFR + 1.280%) due 1/25/32(a)(b) | | | 600,319 | |
| | 135,130 | | | NR | | Stonepeak ABS, Series 2021-1A, Class AA, 2.301% due 2/28/33(a) | | | 127,872 | |
| | 520,916 | | | AAA | | STWD Mortgage Trust, Series 2021-HTS, Class A, 6.551%
(1-Month Term SOFR + 1.214%) due 4/15/34(a)(b)(f) | | | 516,011 | |
| | 261,600 | | | AAA | | TCW CLO Ltd., Series 2018-1A, Class A1R, 6.516%
(3-Month Term SOFR + 1.232%) due 4/25/31(a)(b) | | | 261,862 | |
| | 1,100,000 | | | AAA | | TIAA CLO IV Ltd., Series 2018-1A, Class A1AR, 6.422%
(3-Month Term SOFR + 1.140%) due 1/20/32(a)(b) | | | 1,101,604 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 67,971 | | | Aaa(c) | | Series 2017-5, Class A1, 5.992% (1-Month Term SOFR + 0.714%) due 2/25/57(a)(b) | | | 69,798 | |
| | 276,178 | | | AAA(d) | | Series 2018-3, Class A1, 3.750% due 5/25/58(a)(b) | | | 269,735 | |
| | 146,279 | | | Aaa(c) | | Series 2019-HY2, Class A1, 6.392% (1-Month Term SOFR + 1.114%) due 5/25/58(a)(b) | | | 150,776 | |
| | 174,620 | | | Aaa(c) | | Series 2019-HY3, Class A1A, 6.392% (1-Month Term SOFR + 1.114%) due 10/25/59(a)(b) | | | 178,144 | |
| | 476,734 | | | AAA(d) | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(b) | | | 453,678 | |
| | 836,992 | | | AAA(d) | | Series 2021-SJ2, Class A1A, 2.250% due 12/25/61(a)(b) | | | 806,111 | |
| | 269,171 | | | AAA(d) | | Series 2024-CES1, Class A1A, 5.848% due 1/25/64(a)(b) | | | 271,782 | |
| | 2,000,000 | | | Aaa(c) | | Trinitas CLO XII Ltd., Series 2020-12A, Class A1R, 6.655%
(3-Month Term SOFR + 1.370%) due 4/25/33(a)(b) | | | 2,001,266 | |
| | 1,000,000 | | | Aaa(c) | | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR, 6.674%
(3-Month Term SOFR + 1.392%) due 4/20/32(a)(b) | | | 1,001,000 | |
| | 1,200,000 | | | AAA(d) | | Verdelite Static CLO Ltd., Series 2024-1A, Class A, 6.424%
(3-Month Term SOFR + 1.130%) due 7/20/32(a)(b) | | | 1,202,149 | |
See Notes to Financial Statements.
270
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 23.1% — (continued) | |
| $ | 3,000,000 | | | AAA | | Verizon Master Trust, Series 2024-1, Class A1B, 6.004%
(30-Day Average SOFR + 0.650%) due 12/20/28(b) | | $ | 3,014,008 | |
| | 229,613 | | | AAA(d) | | Verus Securitization Trust, Series 2023-5, Class A1, step bond to yield, 6.476% due 6/25/68(a) | | | 231,827 | |
| | 273,393 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 5.972% (1-Month Term SOFR + 0.694%) due 10/25/45(b) | | | 267,312 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $74,118,639) | | | 72,785,913 | |
| | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 17.4% | |
|
| Automobiles — 11.4% | |
| | 323,604 | | | Aaa(c) | | Ally Auto Receivables Trust, Series 2023-1, Class A2, 5.760% due 11/15/26 | | | 323,942 | |
| | 2,000,000 | | | AAA | | ARI Fleet Lease Trust, Series 2024-B, Class A2, 5.540% due 4/15/33(a) | | | 2,018,426 | |
| | 600,000 | | | Aaa(c) | | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A,
2.360% due 3/20/26(a) | | | 593,663 | |
| | 294,642 | | | Aaa(c) | | Bank of America Auto Trust, Series 2023-1A, Class A2, 5.830% due 5/15/26(a) | | | 294,956 | |
| | | | | | BMW Vehicle Lease Trust: | | | | |
| | 111,866 | | | AAA | | Series 2023-2, Class A2, 5.950% due 8/25/25 | | | 112,002 | |
| | 300,000 | | | AAA | | Series 2023-2, Class A3, 5.990% due 9/25/26 | | | 302,627 | |
| | 1,376,161 | | | AAA | | Series 2024-1, Class A2B, 5.749% (30-Day Average SOFR + 0.400%) due 7/27/26(b) | | | 1,376,773 | |
| | | | | | CarMax Auto Owner Trust: | | | | |
| | 2,000,000 | | | AAA | | Series 2024-3, Class A2B, 5.824% (30-Day Average SOFR + 0.470%) due 9/15/27(b) | | | 2,000,594 | |
| | 1,464,039 | | | AAA | | Series 2024-1, Class A2B, 5.974% (30-Day Average SOFR + 0.620%) due 3/15/27(b) | | | 1,465,723 | |
| | | | | | Carvana Auto Receivables Trust: | | | | |
| | 279,823 | | | AAA | | Series 2021-P2, Class A4, 0.800% due 1/10/27 | | | 273,015 | |
| | 894,842 | | | AAA | | Series 2023-P5, Class A2, 5.770% due 4/12/27(a) | | | 896,281 | |
| | 959,814 | | | Aaa(c) | | Chase Auto Owner Trust, Series 2024-2A, Class A2, 5.660% due 5/26/27(a) | | | 962,683 | |
| | 558,082 | | | Aaa(c) | | Chesapeake Funding II LLC, Series 2024-1A, Class A1, 5.520% due 5/15/36(a) | | | 563,464 | |
| | 2,458,049 | | | AAA | | Citizens Auto Receivables Trust, Series 2024-1, Class A2B, 5.954%
(30-Day Average SOFR + 0.600%) due 10/15/26(a)(b) | | | 2,460,666 | |
| | 326,646 | | | AAA | | Fifth Third Auto Trust, Series 2023-1, Class A2A, 5.800% due 11/16/26 | | | 327,033 | |
| | | | | | Ford Credit Auto Lease Trust: | | | | |
| | 1,049,075 | | | AAA | | Series 2023-B, Class A2B, 5.944% (30-Day Average SOFR + 0.590%) due 2/15/26(b) | | | 1,049,758 | |
| | 2,929,683 | | | AAA | | Series 2024-A, Class A2B, 5.854% (30-Day Average SOFR + 0.500%) due 7/15/26(b) | | | 2,931,581 | |
| | | | | | GM Financial Consumer Automobile Receivables Trust: | | | | |
| | 609,582 | | | AAA | | Series 2023-2, Class A2B, 6.104% (30-Day Average SOFR + 0.750%) due 5/18/26(b) | | | 610,094 | |
| | 350,752 | | | AAA | | Series 2023-3, Class A2A, 5.740% due 9/16/26 | | | 351,510 | |
| | 1,000,000 | | | Aaa(c) | | Hertz Vehicle Financing III LLC, Series 2023-1A, Class A, 5.490% due 6/25/27(a) | | | 1,009,021 | |
| | 495,957 | | | AAA | | Honda Auto Receivables Owner Trust, Series 2023-2, Class A2, 5.410% due 4/15/26 | | | 496,025 | |
| | 1,355,047 | | | AAA | | Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A2B, 5.854%
(30-Day Average SOFR + 0.500%) due 6/15/26(a)(b) | | | 1,355,776 | |
| | 258,240 | | | AAA | | Hyundai Auto Receivables Trust, Series 2023-B, Class A2A, 5.770% due 5/15/26 | | | 258,740 | |
| | | | | | LAD Auto Receivables Trust: | | | | |
| | 474,275 | | | Aaa(c) | | Series 2023-2A, Class A2, 5.930% due 6/15/27(a) | | | 475,168 | |
| | 87,619 | | | Aaa(c) | | Series 2023-3A, Class A2, 6.090% due 6/15/26(a) | | | 87,692 | |
| | 1,000,000 | | | Aaa(c) | | Oscar US Funding XVI LLC, Series 2024-1A, Class A2, 5.480% due 2/10/27(a) | | | 999,626 | |
| | 1,000,000 | | | Aaa(c) | | SBNA Auto Lease Trust, Series 2024-B, Class A2, 5.670% due 11/20/26(a) | | | 1,003,552 | |
| | 1,000,000 | | | AAA | | SFS Auto Receivables Securitization Trust, Series 2024-2A, Class A2, 5.710% due 10/20/27(a) | | | 1,004,843 | |
| | 3,000,000 | | | Aaa(c) | | Tesla Electric Vehicle Trust, Series 2023-1, Class A2B, 5.873%
(30-Day Average SOFR + 0.520%) due 12/21/26(a)(b) | | | 3,001,953 | |
| | | | | | Toyota Auto Receivables Owner Trust: | | | | |
| | 1,395,020 | | | AAA | | Series 2022-C, Class A3, 3.760% due 4/15/27 | | | 1,384,076 | |
| | 460,168 | | | AAA | | Series 2023-C, Class A2A, 5.600% due 8/17/26 | | | 460,783 | |
| | 837,706 | | | Aaa(c) | | Toyota Lease Owner Trust, Series 2023-B, Class A2B, 5.901%
(30-Day Average SOFR + 0.550%) due 4/20/26(a)(b) | | | 838,310 | |
| | 317,467 | | | AAA | | USAA Auto Owner Trust, Series 2023-A, Class A2, 5.830% due 7/15/26(a) | | | 317,836 | |
See Notes to Financial Statements.
271
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Automobiles — 11.4% — (continued) | |
| $ | 587,675 | | | AAA | | Volkswagen Auto Lease Trust, Series 2023-A, Class A2B, 5.921%
(30-Day Average SOFR + 0.570%) due 1/20/26(b) | | $ | 587,974 | |
| | 1,057,889 | | | AAA | | Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A2A, 5.500% due 12/21/26 | | | 1,059,645 | |
| | | | | | World Omni Auto Receivables Trust: | | | | |
| | 73,416 | | | AAA | | Series 2022-C, Class A2, 3.730% due 3/16/26 | | | 73,361 | |
| | 164,482 | | | AAA | | Series 2023-A, Class A2B, 5.784% (30-Day Average SOFR + 0.430%) due 7/15/26(b) | | | 164,503 | |
| | 330,854 | | | AAA | | Series 2023-B, Class A2A, 5.250% due 11/16/26 | | | 330,821 | |
| | 2,282,499 | | | AAA | | Series 2023-D, Class A2A, 5.910% due 2/16/27 | | | 2,289,919 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 36,114,415 | |
| | | | | | | | | | |
|
| Credit Cards — 3.6% | |
| | 700,000 | | | Aaa(c) | | CARDS II Trust, Series 2023-2A, Class A, 6.193% (SOFR + 0.850%) due 7/15/28(a)(b) | | | 701,927 | |
| | | | | | Master Credit Card Trust II: | | | | |
| | 2,300,000 | | | Aaa(c) | | Series 2023-2A, Class A, 6.204% (30-Day Average SOFR + 0.850%) due 1/21/27(a)(b) | | | 2,307,598 | |
| | 2,200,000 | | | Aaa(c) | | Series 2024-1A, Class A, 6.104% (30-Day Average SOFR + 0.750%) due 1/21/28(a)(b) | | | 2,208,121 | |
| | | | | | Trillium Credit Card Trust II: | | | | |
| | 3,000,000 | | | AAA | | Series 2023-3A, Class A, 6.191% (SOFR + 0.850%) due 8/26/28(a)(b) | | | 3,013,003 | |
| | 3,000,000 | | | Aaa(c) | | Series 2024-1A, Class A, 6.091% (SOFR + 0.750%) due 12/26/28(a)(b) | | | 3,006,319 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 11,236,968 | |
| | | | | | | | | | |
|
| Student Loans — 2.4% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 433,213 | | | Aaa(c) | | Series 2017-2A, Class A, 6.513% (30-Day Average SOFR + 1.164%) due 5/25/67(a)(b) | | | 432,645 | |
| | 315,991 | | | Aaa(c) | | Series 2018-1A, Class A, 6.213% (30-Day Average SOFR + 0.864%) due 2/27/68(a)(b) | | | 314,035 | |
| | 481,555 | | | Aaa(c) | | Series 2019-1A, Class A1B, 6.463% (30-Day Average SOFR + 1.114%) due 7/25/69(a)(b) | | | 481,385 | |
| | 1,554,077 | | | AAA | | ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.530% due 12/26/46(a) | | | 1,374,957 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 504,292 | | | AAA | | Series 2015-BA, Class A3, 6.901% (1-Month Term SOFR + 1.564%) due 7/16/40(a)(b) | | | 505,759 | |
| | 245,777 | | | AAA | | Series 2020-A, Class A2B, 6.351% (1-Month Term SOFR + 1.014%) due 11/15/68(a)(b) | | | 244,851 | |
| | | | | | Navient Private Education Refi Loan Trust: | | | | |
| | 152,547 | | | AAA | | Series 2020-GA, Class A, 1.170% due 9/16/69(a) | | | 140,438 | |
| | 205,470 | | | AAA | | Series 2020-IA, Class A1A, 1.330% due 4/15/69(a) | | | 189,833 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 517,419 | | | AA+ | | Series 2017-3A, Class A, 6.313% (30-Day Average SOFR + 0.964%) due 2/25/66(a)(b) | | | 516,064 | |
| | 86,432 | | | AAA | | Series 2018-3A, Class A2, 5.832% (1-Month Term SOFR + 0.554%) due 9/27/66(a)(b) | | | 86,367 | |
| | 520,739 | | | AA+ | | Series 2019-2A, Class A, 6.363% (30-Day Average SOFR + 1.014%) due 6/27/67(a)(b) | | | 520,880 | |
| | 414,079 | | | AA+ | | Series 2019-3A, Class A, 6.192% (1-Month Term SOFR + 0.914%) due 8/25/67(a)(b) | | | 412,950 | |
| | 9,775 | | | AAA | | SLM Student Loan Trust, Series 2004-10, Class A7B, 6.221%
(90-Day Average SOFR + 0.862%) due 10/25/29(a)(b) | | | 9,782 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 213,075 | | | AAA | | Series 2020-PTA, Class A2A, 1.600% due 9/15/54(a) | | | 198,065 | |
| | 174,401 | | | AAA | | Series 2021-D, Class A1A, 1.340% due 3/17/53(a) | | | 160,967 | |
| | 504,240 | | | Aaa(c) | | Series 2023-C, Class A1B, 6.904% (30-Day Average SOFR + 1.550%) due 11/15/52(a)(b) | | | 503,723 | |
| | 981,133 | | | Aaa(c) | | Series 2024-D, Class A1B, 6.454% (30-Day Average SOFR + 1.100%) due 7/15/53(a)(b) | | | 975,324 | |
| | 392,161 | | | Aaa(c) | | Towd Point Asset Trust, Series 2021-SL1, Class A2, 6.150%
(1-Month Term SOFR + 0.814%) due 11/20/61(a)(b) | | | 389,779 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 7,457,804 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $54,893,182) | | | 54,809,187 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCY & OBLIGATIONS — 6.6% | |
|
| U.S. GOVERNMENT AGENCY — 0.9% | |
| | 3,000,000 | | | AA+ | | Federal Home Loan Mortgage Corp. (FHLMC), 5.650% due 3/6/26 | | | 3,000,115 | |
| | | | | | | | | | |
See Notes to Financial Statements.
272
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 5.7% | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| $ | 1,094,679 | | | | | 0.125% due 4/15/25 | | $ | 1,069,579 | |
| | 5,034,354 | | | | | 0.375% due 7/15/25 | | | 4,933,347 | |
| | 1,210,830 | | | | | 0.125% due 10/15/25 | | | 1,179,971 | |
| | 10,462,122 | | | | | 2.125% due 4/15/29 | | | 10,659,672 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT OBLIGATIONS | | | 17,842,569 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCY & OBLIGATIONS
(Cost — $20,658,175) | | | 20,842,684 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 2.5% | |
|
| FHLMC — 0.2% | |
| | 755,215 | | | | | Federal Home Loan Mortgage Corp. (FHLMC), 4.000% due 6/1/49 – 9/1/49 | | | 724,467 | |
| | | | | | | | | | |
|
| FNMA — 2.3% | |
| | 7,200,000 | | | | | Federal National Mortgage Association (FNMA), 5.500% due 9/1/54 – 10/1/54(g) | | | 7,251,601 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $8,020,768) | | | 7,976,068 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $305,711,269) | | | 304,916,368 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 9.1% | |
|
| COMMERCIAL PAPERS — 1.2% | |
| | | | | | NextEra Energy Capital Holdings Inc.: | | | | |
| | 250,000 | | | | | 5.624% due 9/19/24(a)(h) | | | 249,304 | |
| | 250,000 | | | | | 5.627% due 9/23/24(a)(h) | | | 249,149 | |
| | | | | | Southern California Edison Co.: | | | | |
| | 1,200,000 | | | | | 5.731% due 9/4/24(a)(h) | | | 1,199,430 | |
| | 1,900,000 | | | | | 5.553% due 9/6/24(a)(h) | | | 1,899,121 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $3,597,004) | | | 3,597,004 | |
| | | | | | | | | | |
|
| TIME DEPOSITS — 1.4% | |
| | 21 | NZD | | | | ANZ National Bank — Hong Kong, 3.410% due 9/2/24 | | | 13 | |
| | 298,388 | | | | | ANZ National Bank — London, 4.680% due 9/3/24 | | | 298,388 | |
| | 4,227,460 | | | | | JPMorgan Chase & Co. — New York, 4.680% due 9/3/24 | | | 4,227,460 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $4,525,861) | | | 4,525,861 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 6.5% | |
| | | | | | U.S. Treasury Bills: | | | | |
| | 9,000,000 | | | | | 5.144% due 10/29/24(h) | | | 8,928,558 | |
| | 11,800,000 | | | | | 5.044% due 11/29/24(h) | | | 11,654,740 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $20,583,298) | | | 20,583,298 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $28,706,163) | | | 28,706,163 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 105.8%
(Cost — $334,417,432) | | | 333,622,531 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (5.8)% | | | (18,241,275 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 315,381,256 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| @ | The amount is less than 0.05%. |
See Notes to Financial Statements.
273
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2024, amounts to $146,532,596 and represents 46.5% of net assets. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2024. |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (d) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (e) | Affiliated security (See Note 2). As of August 31, 2024, total cost and total value of affiliated security amounted to $362,883 and $371,341, respectively. |
| (g) | This security is traded on a TBA basis (see Note 1). |
| (h) | Rate shown represents yield-to-maturity. |
At August 31, 2024, for Ultra-Short Term Fixed Income Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
(Depreciation) | |
Ultra-Short Term Fixed Income Fund | | $ | 333,249,394 | | | $ | 2,937,041 | | | $ | (2,510,989) | | | $ | 426,052 | |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Backed Security |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| DAC | | — Designated Activity Company |
| LLC | | — Limited Liability Company |
| MASTR | | — Mortgage Asset Securitization Transactions, Inc. |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 44.5 | % |
Collateralized Mortgage Obligations | | | 21.8 | |
Asset-Backed Securities | | | 16.4 | |
U.S. Government Agency & Obligations | | | 6.3 | |
Mortgage-Backed Securities | | | 2.4 | |
Short-Term Investments | | | 8.6 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
274
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At August 31, 2024, Ultra-Short Term Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 124 | | | | 12/24 | | | $ | 29,439,121 | | | $ | 29,475,575 | | | $ | 36,454 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2-Year Note Futures | | | 233 | | | | 12/24 | | | | 48,343,859 | | | | 48,358,422 | | | | (14,563 | ) |
U.S. Treasury 5-Year Note Futures | | | 142 | | | | 12/24 | | | | 15,542,344 | | | | 15,534,578 | | | | 7,766 | |
U.S. Treasury 10-Year Note Futures | | | 56 | | | | 12/24 | | | | 6,373,063 | | | | 6,359,501 | | | | 13,562 | |
U.S. Treasury Ultra Long Bond Futures | | | 4 | | | | 12/24 | | | | 532,242 | | | | 527,750 | | | | 4,492 | |
U.S. Ultra Long Bond Futures | | | 10 | | | | 12/24 | | | | 1,179,578 | | | | 1,174,375 | | | | 5,203 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 16,460 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 52,914 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2024, Ultra-Short Term Fixed Income Fund had deposited cash of $732,000 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | | | |
| NZD | | — New Zealand Dollar | | | | |
| USD | | — United States Dollar | | | | |
See pages 277-278 for definitions of ratings.
See Notes to Financial Statements.
275
| | | | | | | | |
| Alternative Strategies Fund | |
| | |
| Units | | | Security | | Value | |
|
| OPEN END MUTUAL FUND SECURITIES — 99.1% | |
|
| United States — 99.1% | |
| | 898,460 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 8,939,676 | |
| | 549,022 | | | American Beacon AHL TargetRisk Fund, Class Y | | | 6,187,477 | |
| | 802,426 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 8,224,862 | |
| | 730,587 | | | BlackRock Global Equity Market Neutral Fund, Institutional Class | | | 10,045,565 | |
| | 1,735,328 | | | BlackRock Systematic Multi-Strategy Fund, Institutional Class | | | 18,429,186 | |
| | 716,542 | | | BNY Mellon Global Real Return Fund, Class Y | | | 11,421,676 | |
| | 553,321 | | | Calamos Market Neutral Income Fund, Class I | | | 8,200,220 | |
| | 64,312 | | | Cohen & Steers Global Realty Shares Inc., Class I | | | 3,602,106 | |
| | 215,743 | | | Diamond Hill Long/Short Fund, Class I | | | 6,487,379 | |
| | 644,901 | | | Driehaus Event Driven Fund, Common Class | | | 8,183,793 | |
| | 1,133,213 | | | John Hancock Diversified Macro Fund, Class I | | | 10,198,921 | |
| | 212,734 | | | JPMorgan Hedged Equity Fund, Class I | | | 6,828,774 | |
| | 620,750 | | | LoCorr Market Trend Fund, Class I | | | 7,126,209 | |
| | 535,422 | | | Neuberger Berman Long Short Fund, Institutional Class | | | 9,824,989 | |
| | 235,826 | | | PIMCO CommodityRealReturn Strategy Fund, Institutional Class | | | 3,044,512 | |
| | 846,957 | | | PIMCO Credit Opportunities Bond Fund, Institutional Class | | | 8,240,888 | |
| | 2,117,899 | | | PIMCO Mortgage Opportunities and Bond Fund, Class I2 | | | 20,014,143 | |
| | 576,853 | | | Thornburg Strategic Income Fund, Institutional Class | | | 6,668,421 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.1%
(Cost — $157,057,210) | | | 161,668,797 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.9% | | | 1,430,588 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 163,099,385 | |
| | | | | | | | |
At August 31, 2024, for Alternative Strategies Fund the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation | |
Alternative Strategies Fund | | $ | 157,550,127 | | | $ | 7,335,203 | | | $ | (3,216,533) | | | $ | 4,118,670 | |
| | | | |
| Summary of Investments by Security Type^ | | | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
276
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| | |
| AAA | | — Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. |
| |
| AA | | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. |
| |
| A | | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
| |
| BBB | | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
| |
| BB, B, CCC, CC and C | | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
| |
| D | | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
| |
| P | | — Preliminary rating. |
| |
| u | | — The upgrade state defines bonds that have recently been upgraded into higher rating categories. |
Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.
| | |
| Aaa | | — Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. |
| |
| Aa | | — Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. |
| |
| A | | — Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. |
| |
| Baa | | — Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. |
| |
| Ba | | — Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. |
| |
| B | | — Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. |
| |
| Caa | | — Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest. |
| |
| Ca | | — Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings. |
| |
| C | | — Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. |
| |
| e | | — Expected. |
| |
| u | | — Upgraded. |
Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| | |
| AAA | | — Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong. |
| |
| AAApre | | — Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States. |
| |
| AA | | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. |
| |
| A | | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
277
| | |
| BBB | | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
| |
| BB, B, CCC, CC and C | | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
| |
| D | | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
| |
| NR | | — Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch. |
| |
| WD, WR | | — Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch. |
Short-Term Security Ratings
| | |
| SP-1 | | — Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
| |
| A-1 | | — Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
| |
| VMIG 1 | | — Moody’s highest rating for issues having a demand feature — VRDO. |
| |
| MIG1 | | — Moody’s highest rating for short-term municipal obligations. |
| |
| P-1 | | — Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. |
| |
| F-1 | | — Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign. |
| |
| F-2 | | — Fitch’s rating indicating a good capacity for timely payment of financial commitments. |
278
| | |
| | | |
| Statements of Assets and Liabilities | | |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 2,641,091,483 | | | $ | 480,519,138 | | | $ | 1,314,061,585 | | | | | |
Affiliated investments, at value2 | | | 3,852,841 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | 79 | | | | 60 | | | | 456,905 | | | | | |
Cash | | | — | | | | 1,542,084 | | | | — | | | | | |
Due from affiliated Fund | | | — | | | | 342,548 | | | | — | | | | | |
Receivable for securities sold | | | 174,951 | | | | 385,396 | | | | 4,868,038 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,858,691 | | | | 411,758 | | | | 9,305,924 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 1,425,146 | | | | 249,275 | | | | 628,362 | | | | | |
Unrealized appreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open futures contracts (Note 1) | | | 186,455 | | | | 12,190 | | | | 4,864 | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized appreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment paid on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Deposits for collateral with counterparty | | | 1,042,984 | | | | 134,996 | | | | 180,105 | | | | | |
Prepaid trustees expenses | | | 32,377 | | | | 4,402 | | | | 34,113 | | | | | |
Prepaid expenses | | | 33,112 | | | | 19,146 | | | | 26,144 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 2,650,698,119 | | | | 483,620,993 | | | | 1,329,566,040 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Reverse repurchase agreements, at value7 | | | — | | | | — | | | | — | | | | | |
Due to affiliated Fund | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 1,082,000 | | | | 3,848,832 | | | | 11,934,844 | | | | | |
Payable for Fund shares repurchased | | | 1,241,709 | | | | 212,699 | | | | 630,142 | | | | | |
Payable for securities purchased | | | 165,544 | | | | 637,116 | | | | 5,869,945 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Payable for sale-buyback transactions | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 656,333 | | | | 182,899 | | | | 508,912 | | | | | |
Transfer agent fees payable | | | 27,118 | | | | 5,075 | | | | 14,332 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 100,693 | | | | 55,129 | | | | 191,443 | | | | | |
Variation margin on open futures contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Due to custodian4 | | | — | | | | — | | | | — | | | | | |
Forward sale commitments, at value5 (Note 1) | | | — | | | | — | | | | — | | | | | |
Options contracts written, at value6 (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment received on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Deposits for collateral from counterparty | | | — | | | | — | | | | — | | | | | |
Foreign capital gains tax payable | | | — | | | | — | | | | — | | | | | |
Distributions payable | | | — | | | | — | | | | — | | | | | |
Audit fees payable | | | — | | | | — | | | | — | | | | | |
Accrued expenses | | | 187,089 | | | | 135,328 | | | | 384,098 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 3,460,486 | | | | 5,077,078 | | | | 19,533,716 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 2,647,237,633 | | | $ | 478,543,915 | | | $ | 1,310,032,324 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Paid-in-capital (Note 4) | | $ | 1,414,007,169 | | | $ | 313,278,875 | | | $ | 954,478,121 | | | | | |
Total distributable earnings (losses) | | | 1,233,230,464 | | | | 165,265,040 | | | | 355,554,203 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 2,647,237,633 | | | $ | 478,543,915 | | | $ | 1,310,032,324 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 102,948,398 | | | | 26,435,065 | | | | 87,078,780 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 25.71 | | | $ | 18.10 | | | $ | 15.04 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,490,085,135 | | | $ | 359,811,509 | | | $ | 981,627,202 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 1,489,240 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 1,411,251 | | | $ | 4,242,817 | | | $ | 20,261,565 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency/Due to custodian, at cost | | $ | 549 | | | $ | 519 | | | $ | 397,615 | | | | | |
| | | | | | | | | | | | | | | | |
| 5 Proceeds received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 6 Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 7 Proceeds of reverse repurchase agreements | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
279
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Emerging
Markets
Equity
Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed
Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 506,196,504 | | | $ | 1,944,390,173 | | | $ | 132,461,269 | | | $ | 191,946,658 | | | $ | 89,853,671 | | | $ | 211,191,394 | | | $ | 333,251,190 | | | $ | 161,668,797 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 371,341 | | | | — | |
| | | | | 2,770,517 | | | | 516,684 | | | | — | | | | 258,458 | | | | — | | | | 87,826 | | | | — | | | | — | |
| | | | | — | | | | 93,561 | | | | — | | | | — | | | | — | | | | 1,738,267 | | | | — | | | | 1,676,878 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 1,839,854 | | | | 10,254,185 | | | | — | | | | 21,493,257 | | | | — | | | | 30,870,777 | | | | 14,165 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 53,836,355 | | | | — | | | | 11,042,336 | | | | 5,037,891 | | | | — | |
| | | | | 609,777 | | | | 14,699,210 | | | | 2,134,412 | | | | 1,039,385 | | | | 948,957 | | | | 419,187 | | | | 1,997,958 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 381 | | | | — | |
| | | | | 292,473 | | | | 983,351 | | | | 72,749 | | | | 124,477 | | | | 1,282 | | | | 24,138 | | | | 141,897 | | | | 65,123 | |
| | | | | — | | | | 1,374,834 | | | | — | | | | 1,251,064 | | | | — | | | | 49,852 | | | | — | | | | — | |
| | | | | 2,415 | | | | — | | | | — | | | | 65,559 | | | | — | | | | 102,688 | | | | 220,098 | | | | — | |
| | | | | — | | | | 173,077 | | | | — | | | | 122,990 | | | | — | | | | 117,507 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 19,437 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 1,570,366 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 45,994 | | | | 13,297,331 | | | | — | | | | 4,016,000 | | | | — | | | | 1,269,000 | | | | 732,000 | | | | — | |
| | | | | 20,309 | | | | 118,437 | | | | 8,026 | | | | 2,149 | | | | 5,778 | | | | 5,275 | | | | 4,337 | | | | 4,326 | |
| | | | | 26,981 | | | | 43,007 | | | | 11,169 | | | | 16,074 | | | | 13,531 | | | | — | | | | 10,825 | | | | 13,450 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 511,804,824 | | | | 1,985,943,850 | | | | 134,687,625 | | | | 275,762,229 | | | | 90,823,219 | | | | 256,918,247 | | | | 341,782,083 | | | | 163,428,574 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | 1,215,000 | | | | — | | | | 78,274,263 | | | | — | | | | — | |
| | | | | — | | | | 342,548 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 3,648,467 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 229,233 | | | | 6,972,600 | | | | 723,595 | | | | 88,470 | | | | 280,243 | | | | 166,670 | | | | 1,232,940 | | | | 106,653 | |
| | | | | 3,047,017 | | | | 40,429,082 | | | | 370,728 | | | | 19,594,547 | | | | — | | | | 52,865 | | | | 12,511,895 | | | | — | |
| | | | | — | | | | 63,116,716 | | | | — | | | | 36,318,887 | | | | — | | | | 29,861,313 | | | | 12,207,602 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 572,413 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 226,461 | | | | 603,603 | | | | 55,960 | | | | 67,927 | | | | 30,723 | | | | 56,250 | | | | 92,110 | | | | 27,393 | |
| | | | | 7,328 | | | | 20,744 | | | | 1,536 | | | | 2,393 | | | | 1,050 | | | | 9,744 | | | | 3,660 | | | | 3,117 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 79,835 | | | | — | | | | — | |
| | | | | 82,749 | | | | 151,617 | | | | 35,943 | | | | 72,097 | | | | 21,391 | | | | 28,535 | | | | 31,134 | | | | 23,960 | |
| | | | | — | | | | 5,448,393 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 1,077,344 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 32,819,271 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 277,256 | | | | — | | | | 126,300 | | | | — | | | | 129,797 | | | | — | | | | — | |
| | | | | — | | | | 782,669 | | | | — | | | | 1,860,940 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 46,465 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 2,286,814 | | | | — | | | | 3,508,670 | | | | — | | | | 248,248 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 320,000 | | | | — | | | | — | |
| | | | | 4,311,394 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 73 | | | | — | | | | — | | | | — | | | | — | | | | 65 | | | | — | |
| | | | | — | | | | — | | | | 192,382 | | | | — | | | | 142,243 | | | | — | | | | — | | | | 103,643 | |
| | | | | 323,376 | | | | 290,196 | | | | 92,451 | | | | 153,681 | | | | 16,080 | | | | 386,632 | | | | 321,421 | | | | 64,423 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 12,953,369 | | | | 120,722,311 | | | | 1,472,595 | | | | 96,447,061 | | | | 491,730 | | | | 109,614,152 | | | | 26,400,827 | | | | 329,189 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 498,851,455 | | | $ | 1,865,221,539 | | | $ | 133,215,030 | | | $ | 179,315,168 | | | $ | 90,331,489 | | | $ | 147,304,095 | | | $ | 315,381,256 | | | $ | 163,099,385 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 465,293,531 | | | $ | 2,094,598,704 | | | $ | 156,381,759 | | | $ | 202,780,276 | | | $ | 95,220,365 | | | $ | 163,218,908 | | | $ | 330,466,620 | | | $ | 157,473,355 | |
| | | | | 33,557,924 | | | | (229,377,165 | ) | | | (23,166,729 | ) | | | (23,465,108 | ) | | | (4,888,876 | ) | | | (15,914,813 | ) | | | (15,085,364 | ) | | | 5,626,030 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 498,851,455 | | | $ | 1,865,221,539 | | | $ | 133,215,030 | | | $ | 179,315,168 | | | $ | 90,331,489 | | | $ | 147,304,095 | | | $ | 315,381,256 | | | $ | 163,099,385 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 35,558,839 | | | | 269,719,471 | | | | 41,007,321 | | | | 26,435,392 | | | | 10,450,233 | | | | 17,801,977 | | | | 32,424,803 | | | | 15,139,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 14.03 | | | $ | 6.92 | | | $ | 3.25 | | | $ | 6.78 | | | $ | 8.64 | | | $ | 8.27 | | | $ | 9.73 | | | $ | 10.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 412,322,929 | | | $ | 1,974,824,288 | | | $ | 134,643,639 | | | $ | 204,371,081 | | | $ | 88,549,163 | | | $ | 220,054,870 | | | $ | 334,054,549 | | | $ | 157,057,210 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 362,883 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 4,752,230 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 2,766,348 | | | $ | 521,892 | | | $ | — | | | $ | 241,926 | | | $ | — | | | $ | 83,028 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,718,355 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 150,639 | | | $ | — | | | $ | 137,085 | | | $ | — | | | $ | 140,871 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,215,000 | | | $ | — | | | $ | 78,274,263 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
280
| | |
| For the Year Ended August 31, 2024 | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 29,499,169 | | | $ | 6,047,577 | | | $ | 35,572,019 | | | | | |
Dividends from affiliated investments | | | 117,972 | | | | — | | | | — | | | | | |
Income from non-cash dividends | | | — | | | | — | | | | — | | | | | |
Interest from unaffiliated investments | | | 2,695,996 | | | | 778,296 | | | | 1,286,950 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 45,512 | | | | 127,795 | | | | 138,473 | | | | | |
Less: Foreign taxes withheld (see Note 1r) | | | (32,243 | ) | | | (24,210 | ) | | | (3,279,047 | ) | | | | |
Miscellaneous income | | | 21,475 | | | | 3,046 | | | | 107,491 | | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 32,347,881 | | | | 6,932,504 | | | | 33,825,886 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 13,092,391 | | | | 3,797,950 | | | | 8,671,760 | | | | | |
Transfer agent fees | | | 276,833 | | | | 60,037 | | | | 156,295 | | | | | |
Custody fees | | | 584,623 | | | | 199,345 | | | | 807,743 | | | | | |
Trustees’ fees | | | 340,516 | | | | 82,298 | | | | 166,478 | | | | | |
Shareholder reports | | | 308,921 | | | | 190,088 | | | | 128,640 | | | | | |
Insurance | | | 81,450 | | | | 19,575 | | | | 72,218 | | | | | |
Audit and tax | | | 73,044 | | | | 73,052 | | | | 57,165 | | | | | |
Legal fees | | | 104,831 | | | | 18,429 | | | | 40,315 | | | | | |
Registration fees | | | 40,631 | | | | 25,846 | | | | 24,270 | | | | | |
Other expense | | | 119,744 | | | | 32,103 | | | | 135,207 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 15,022,984 | | | | 4,498,723 | | | | 10,260,091 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (6,124,152 | ) | | | (1,648,409 | ) | | | (2,648,942 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 8,898,832 | | | | 2,850,314 | | | | 7,611,149 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 23,449,049 | | | $ | 4,082,190 | | | $ | 26,214,737 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SHORT SALES, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS, FOREIGN CURRENCY AND CAPITAL GAIN DISTRIBUTIONS RECEIVED (NOTES 1 AND 3): | | | | | | | | | | | | | | | | |
| | | | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | $ | 86,903,047 | | | $ | 56,652,145 | | | $ | 53,319,167 | | | | | |
Affiliated investments | | | 545 | | | | — | | | | — | | | | | |
Futures contracts | | | 2,655,488 | | | | 105,940 | | | | 215,872 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Short sales | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | 367 | | | | | |
| | | | |
Foreign currency translations | | | (492 | ) | | | (28 | ) | | | (92,203 | ) | | | | |
Capital gain distributions received | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss): | | | 89,558,588 | | | | 56,758,057 | | | | 53,443,203 | | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | | 383,820,876 | | | | 5,070,992 | | | | 135,571,443 | | | | | |
Affiliated investments | | | 642,414 | | | | — | | | | — | | | | | |
Futures contracts | | | 173,047 | | | | 117,604 | | | | 36,756 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | 144 | | | | (68 | ) | | | 184,823 | | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation: | | | 384,636,481 | | | | 5,188,528 | | | | 135,793,022 | | | | | |
| | | | | | | | | | | | | | | | |
Net Gain on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Short Sales, Swap Contracts, Forward Foreign Currency Contracts, Foreign Currency and Capital Gain Distributions Received | | | 474,195,069 | | | | 61,946,585 | | | | 189,236,225 | | | | | |
| | | | | | | | | | | | | | | | |
Total Increase in Net Assets from Operations | | $ | 497,644,118 | | | $ | 66,028,775 | | | $ | 215,450,962 | | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes net decrease in accrued foreign capital gains taxes of $(3,079,934) for Emerging Markets Equity Fund. |
See Notes to Financial Statements.
281
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Emerging
Markets
Equity
Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed
Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income
Fund | | | Alternative
Strategies
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 13,606,258 | | | $ | 130,408 | | | $ | 35,124 | | | $ | — | | | $ | 15,668 | | | $ | — | | | $ | — | | | $ | 5,842,047 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 576,736 | | | | 81,638,454 | | | | 9,944,109 | | | | 6,854,817 | | | | 3,503,696 | | | | 8,265,657 | | | | 17,450,253 | | | | — | |
| | | | | — | | | | 7,473 | | | | — | | | | — | | | | — | | | | — | | | | 18,120 | | | | — | |
| | | | | 24,599 | | | | 67 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (1,558,230 | ) | | | (4,759 | ) | | | — | | | | — | | | | — | | | | — | | | | (483 | ) | | | — | |
| | | | | 1,821 | | | | 149,004 | | | | — | | | | 118,138 | | | | 5,438 | | | | 17,140 | | | | 2,117 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 12,651,184 | | | | 81,920,647 | | | | 9,979,233 | | | | 6,972,955 | | | | 3,524,802 | | | | 8,282,797 | | | | 17,470,007 | | | | 5,842,047 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 4,084,960 | | | | 7,321,370 | | | | 914,125 | | | | 912,499 | | | | 379,306 | | | | 656,822 | | | | 1,581,431 | | | | 1,943,060 | |
| | | | | 58,448 | | | | 234,086 | | | | 17,134 | | | | 23,645 | | | | 12,146 | | | | 17,588 | | | | 36,982 | | | | 20,735 | |
| | | | | 537,706 | | | | 1,338,304 | | | | 214,793 | | | | 475,276 | | | | 137,028 | | | | 169,357 | | | | 171,808 | | | | 129,910 | |
| | | | | 75,565 | | | | 228,436 | | | | 14,900 | | | | 30,895 | | | | 10,845 | | | | 19,159 | | | | 46,455 | | | | 22,684 | |
| | | | | 84,794 | | | | 201,589 | | | | 70,850 | | | | 85,293 | | | | 8,146 | | | | 68,785 | | | | 96,619 | | | | 33,909 | |
| | | | | 5,243 | | | | 67,088 | | | | 7,657 | | | | 8,159 | | | | 5,854 | | | | — | | | | 38,889 | | | | 262 | |
| | | | | 68,490 | | | | 96,569 | | | | 91,765 | | | | 119,027 | | | | 70,637 | | | | 124,968 | | | | 91,543 | | | | 66,434 | |
| | | | | 13,839 | | | | 73,674 | | | | 5,574 | | | | 7,589 | | | | 6,243 | | | | 3,888 | | | | 11,126 | | | | 6,421 | |
| | | | | 17,578 | | | | 13,887 | | | | 18,554 | | | | 23,430 | | | | 18,454 | | | | 62,472 | | | | 14,234 | | | | 5,039 | |
| | | | | 48,878 | | | | 119,592 | | | | 13,578 | | | | 70,525 | | | | 8,512 | | | | 21,489 | | | | 53,625 | | | | 14,260 | |
| | | | | — | | | | — | | | | — | | | | 18,334 | | | | — | | | | 2,192,900 | | | | 24,927 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,995,501 | | | | 9,694,595 | | | | 1,368,930 | | | | 1,774,672 | | | | 657,171 | | | | 3,337,428 | | | | 2,167,639 | | | | 2,242,714 | |
| | | | | (1,555,824 | ) | | | (985,566 | ) | | | (264,609 | ) | | | (96,719 | ) | | | — | | | | (68,041 | ) | | | (454,874 | ) | | | (1,619,216 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 3,439,677 | | | | 8,709,029 | | | | 1,104,321 | | | | 1,677,953 | | | | 657,171 | | | | 3,269,387 | | | | 1,712,765 | | | | 623,498 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 9,211,507 | | | $ | 73,211,618 | | | $ | 8,874,912 | | | $ | 5,295,002 | | | $ | 2,867,631 | | | $ | 5,013,410 | | | $ | 15,757,242 | | | $ | 5,218,549 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | (29,506,369 | ) | | $ | (47,654,299 | ) | | $ | (2,265,476 | ) | | $ | (5,981,549 | ) | | $ | (1,881,896 | ) | | $ | (2,753,645 | ) | | $ | (7,181,391 | ) | | $ | 86,676 | |
| | | | | — | | | | (62,793 | ) | | | — | | | | — | | | | — | | | | — | | | | 89 | | | | — | |
| | | | | 20,138 | | | | 738,963 | | | | — | | | | 374,197 | | | | (39,655 | ) | | | (279,568 | ) | | | (746,439 | ) | | | — | |
| | | | | — | | | | 5,457,803 | | | | — | | | | 373,349 | | | | — | | | | 306,904 | | | | — | | | | — | |
| | | | | — | | | | 4,535 | | | | — | | | | (584,352 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (32,473 | ) | | | — | | | | — | |
| | | | | — | | | | 6,423,321 | | | | — | | | | (1,377,631 | ) | | | — | | | | (7,808 | ) | | | (383,287 | ) | | | — | |
| | | | | — | | | | (1,319,343 | ) | | | — | | | | 8,304,179 | | | | — | | | | 578,184 | | | | 2,231,075 | | | | — | |
| | | | | | | | |
| | | | | (307,966 | ) | | | (254,529 | ) | | | 365 | | | | (189,650 | ) | | | (7,451 | ) | | | (471,427 | ) | | | 187,557 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 664,464 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (29,794,197 | ) | | | (36,666,342 | ) | | | (2,265,111 | ) | | | 918,543 | | | | (1,929,002 | ) | | | (2,659,833 | ) | | | (5,892,396 | ) | | | 751,140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 76,541,293 | (a) | | | 96,606,241 | | | | 6,903,216 | | | | 8,631,902 | | | | 4,579,341 | | | | 5,425,526 | | | | 9,342,363 | | | | 7,735,938 | |
| | | | | — | | | | 78,016 | | | | — | | | | — | | | | — | | | | — | | | | 18,261 | | | | — | |
| | | | | 18,485 | | | | (3,428,915 | ) | | | — | | | | 693,925 | | | | 22,255 | | | | 185,781 | | | | 294,180 | | | | — | |
| | | | | — | | | | (609,116 | ) | | | — | | | | 211,677 | | | | — | | | | 383,422 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 167,713 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | (6,524,344 | ) | | | — | | | | 1,439,798 | | | | — | | | | 229,747 | | | | 357,055 | | | | — | |
| | | | | — | | | | (82,190 | ) | | | — | | | | (5,405,177 | ) | | | — | | | | (469,417 | ) | | | (865,197 | ) | | | — | |
| | | | | 50,087 | | | | 71,888 | | | | — | | | | 194,197 | | | | — | | | | 326,242 | | | | 4,753 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 76,609,865 | | | | 86,111,580 | | | | 6,903,216 | | | | 5,934,035 | | | | 4,601,596 | | | | 6,081,301 | | | | 9,151,415 | | | | 7,735,938 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 46,815,668 | | | | 49,445,238 | | | | 4,638,105 | | | | 6,852,578 | | | | 2,672,594 | | | | 3,421,468 | | | | 3,259,019 | | | | 8,487,078 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 56,027,175 | | | $ | 122,656,856 | | | $ | 13,513,017 | | | $ | 12,147,580 | | | $ | 5,540,225 | | | $ | 8,434,878 | | | $ | 19,016,261 | | | $ | 13,705,627 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
282
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2024 and August 31, 2023 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2024 | | | 2023 | | | 2024 | | | 2023 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss) | | $ | 23,449,049 | | | $ | 19,061,621 | | | $ | 4,082,190 | | | $ | 4,955,504 | | | | | |
Net realized gain (loss) | | | 89,558,588 | | | | 82,839,118 | | | | 56,758,057 | | | | (4,538,592 | ) | | | | |
Change in unrealized appreciation (depreciation) | | | 384,636,481 | | | | 136,996,689 | | | | 5,188,528 | | | | 29,547,498 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 497,644,118 | | | | 238,897,428 | | | | 66,028,775 | | | | 29,964,410 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (115,892,456 | ) | | | (142,132,555 | ) | | | (4,637,293 | ) | | | (53,167,528 | ) | | | | |
Tax return of capital | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (115,892,456 | ) | | | (142,132,555 | ) | | | (4,637,293 | ) | | | (53,167,528 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 790,882,481 | | | | 366,458,168 | | | | 121,570,781 | | | | 113,611,726 | | | | | |
Reinvestment of distributions | | | 115,892,324 | | | | 142,130,329 | | | | 4,637,278 | | | | 53,166,874 | | | | | |
Cost of shares repurchased | | | (456,318,745 | ) | | | (475,179,779 | ) | | | (199,213,563 | ) | | | (194,969,471 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | 450,456,060 | | | | 33,408,718 | | | | (73,005,504 | ) | | | (28,190,871 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 832,207,722 | | | | 130,173,591 | | | | (11,614,022 | ) | | | (51,393,989 | ) | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 1,815,029,911 | | | | 1,684,856,320 | | | | 490,157,937 | | | | 541,551,926 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 2,647,237,633 | | | $ | 1,815,029,911 | | | $ | 478,543,915 | | | $ | 490,157,937 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
283
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2024 | | | 2023 | | | 2024 | | | 2023 | | | 2024 | | | 2023 | | | 2024 | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 26,214,737 | | | $ | 23,712,996 | | | $ | 9,211,507 | | | $ | 9,018,571 | | | $ | 73,211,618 | | | $ | 55,732,592 | | | $ | 8,874,912 | | | $ | 7,208,764 | |
| | | | | 53,443,203 | | | | (14,398,914 | ) | | | (29,794,197 | ) | | | (12,770,849 | ) | | | (36,666,342 | ) | | | (84,857,381 | ) | | | (2,265,111 | ) | | | (3,692,042 | ) |
| | | | | 135,793,022 | | | | 224,960,097 | | | | 76,609,865 | | | | 25,188,761 | | | | 86,111,580 | | | | 5,737,926 | | | | 6,903,216 | | | | 3,913,294 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 215,450,962 | | | | 234,274,179 | | | | 56,027,175 | | | | 21,436,483 | | | | 122,656,856 | | | | (23,386,863 | ) | | | 13,513,017 | | | | 7,430,016 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (25,231,455 | ) | | | (57,788,263 | ) | | | (10,119,149 | ) | | | (8,935,779 | ) | | | (79,434,988 | ) | | | (55,626,492 | ) | | | (9,093,545 | ) | | | (7,405,135 | ) |
| | | | | — | | | | — | | | | — | | | | — | | | | (937,998 | ) | | | (2,151,201 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (25,231,455 | ) | | | (57,788,263 | ) | | | (10,119,149 | ) | | | (8,935,779 | ) | | | (80,372,986 | ) | | | (57,777,693 | ) | | | (9,093,545 | ) | | | (7,405,135 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 268,806,806 | | | | 197,255,910 | | | | 136,409,466 | | | | 99,155,100 | | | | 480,458,500 | | | | 761,348,557 | | | | 32,807,799 | | | | 34,438,848 | |
| | | | | 25,231,297 | | | | 57,786,251 | | | | 10,119,077 | | | | 8,935,359 | | | | 80,372,272 | | | | 57,776,345 | | | | 9,093,522 | | | | 7,404,827 | |
| | | | | (349,822,542 | ) | | | (403,947,225 | ) | | | (184,173,133 | ) | | | (111,056,254 | ) | | | (534,138,513 | ) | | | (293,556,533 | ) | | | (40,976,379 | ) | | | (26,499,775 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (55,784,439 | ) | | | (148,905,064 | ) | | | (37,644,590 | ) | | | (2,965,795 | ) | | | 26,692,259 | | | | 525,568,369 | | | | 924,942 | | | | 15,343,900 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 134,435,068 | | | | 27,580,852 | | | | 8,263,436 | | | | 9,534,909 | | | | 68,976,129 | | | | 444,403,813 | | | | 5,344,414 | | | | 15,368,781 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 1,175,597,256 | | | | 1,148,016,404 | | | | 490,588,019 | | | | 481,053,110 | | | | 1,796,245,410 | | | | 1,351,841,597 | | | | 127,870,616 | | | | 112,501,835 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,310,032,324 | | | $ | 1,175,597,256 | | | $ | 498,851,455 | | | $ | 490,588,019 | | | $ | 1,865,221,539 | | | $ | 1,796,245,410 | | | $ | 133,215,030 | | | $ | 127,870,616 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
284
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2024 and August 31, 2023 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | International Fixed Income Fund | | | Municipal Bond Fund | | | | |
| | | 2024 | | | 2023 | | | 2024 | | | 2023 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss) | | $ | 5,295,002 | | | $ | 3,202,148 | | | $ | 2,867,631 | | | $ | 2,421,424 | | | | | |
Net realized gain (loss) | | | 918,543 | | | | (2,095,489 | ) | | | (1,929,002 | ) | | | (2,302,999 | ) | | | | |
Change in unrealized appreciation (depreciation) | | | 5,934,035 | | | | (1,258,956 | ) | | | 4,601,596 | | | | 646,025 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 12,147,580 | | | | (152,297 | ) | | | 5,540,225 | | | | 764,450 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (1,577,786 | ) | | | (14,058,663 | ) | | | (3,290,933 | ) | | | (2,408,693 | ) | | | | |
Tax Return of Capital | | | — | | | | — | | | | (39,392 | ) | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (1,577,786 | ) | | | (14,058,663 | ) | | | (3,330,325 | ) | | | (2,408,693 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 51,217,949 | | | | 53,385,637 | | | | 18,669,224 | | | | 43,863,636 | | | | | |
Reinvestment of distributions | | | 1,577,762 | | | | 14,057,777 | | | | 3,330,325 | | | | 2,408,693 | | | | | |
Cost of shares repurchased | | | (66,150,989 | ) | | | (42,557,170 | ) | | | (32,435,221 | ) | | | (33,021,324 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (13,355,278 | ) | | | 24,886,244 | | | | (10,435,672 | ) | | | 13,251,005 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (2,785,484 | ) | | | 10,675,284 | | | | (8,225,772 | ) | | | 11,606,762 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 182,100,652 | | | | 171,425,368 | | | | 98,557,261 | | | | 86,950,499 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 179,315,168 | | | $ | 182,100,652 | | | $ | 90,331,489 | | | $ | 98,557,261 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
285
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed Income Fund | | | Alternative Strategies Fund | |
| | | | 2024 | | | 2023 | | | 2024 | | | 2023 | | | 2024 | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | $ | 5,013,410 | | | $ | 3,111,270 | | | $ | 15,757,242 | | | $ | 13,487,209 | | | $ | 5,218,549 | | | $ | 5,599,898 | |
| | | | | (2,659,833 | ) | | | (3,196,541 | ) | | | (5,892,396 | ) | | | (2,647,548 | ) | | | 751,140 | | | | (374,746 | ) |
| | | | | 6,081,301 | | | | (4,711,148 | ) | | | 9,151,415 | | | | 7,864,932 | | | | 7,735,938 | | | | (2,080,295 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 8,434,878 | | | | (4,796,419 | ) | | | 19,016,261 | | | | 18,704,593 | | | | 13,705,627 | | | | 3,144,857 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (5,674,302 | ) | | | (7,395,101 | ) | | | (10,854,653 | ) | | | (22,018,011 | ) | | | (5,012,008 | ) | | | (9,351,880 | ) |
| | | | | — | | | | — | | | | (4,497,656 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (5,674,302 | ) | | | (7,395,101 | ) | | | (15,352,309 | ) | | | (22,018,011 | ) | | | (5,012,008 | ) | | | (9,351,880 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 43,599,256 | | | | 52,980,412 | | | | 98,367,828 | | | | 111,642,514 | | | | 49,781,837 | | | | 54,915,688 | |
| | | | | 5,674,221 | | | | 7,394,879 | | | | 15,351,691 | | | | 22,016,351 | | | | 5,012,008 | | | | 9,351,880 | |
| | | | | (31,820,671 | ) | | | (23,359,545 | ) | | | (110,754,142 | ) | | | (327,380,449 | ) | | | (57,340,034 | ) | | | (47,873,053 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 17,452,806 | | | | 37,015,746 | | | | 2,965,377 | | | | (193,721,584 | ) | | | (2,546,189 | ) | | | 16,394,515 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 20,213,382 | | | | 24,824,226 | | | | 6,629,329 | | | | (197,035,002 | ) | | | 6,147,430 | | | | 10,187,492 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 127,090,713 | | | | 102,266,487 | | | | 308,751,927 | | | | 505,786,929 | | | | 156,951,955 | | | | 146,764,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 147,304,095 | | | $ | 127,090,713 | | | $ | 315,381,256 | | | $ | 308,751,927 | | | $ | 163,099,385 | | | $ | 156,951,955 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
286
| | |
| For the Year Ended August 31, 2024 | | |
| | | | | | | | |
| | | International Fixed
Income Fund | | | Inflation-Linked Fixed
Income Fund | |
Cash Flows Provided by/Used in Operating Activities: | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 12,147,580 | | | $ | 8,434,878 | |
Adjustments to reconcile net increase in net assets from operations to net cash and foreign currency provided by/used in operating activities: | | | | | | | | |
Purchases of long-term investments | | | (571,078,465 | ) | | | (255,438,063 | ) |
Proceeds from the sale and maturity of long-term investments | | | 536,420,273 | | | | 219,346,951 | |
Proceeds from short-term investments, net | | | 47,267,970 | | | | 101,071 | |
Decrease to the principal amount of inflation-indexed bonds | | | (271,924 | ) | | | (4,560,870 | ) |
Proceeds from forward sale commitments | | | 310,099,863 | | | | — | |
Payments on forward sale commitments | | | (292,911,242 | ) | | | — | |
Change in net unrealized appreciation from forward sale commitments | | | (167,713 | ) | | | — | |
Change in net unrealized appreciation from unaffiliated investments | | | (8,631,902 | ) | | | (5,425,526 | ) |
Change in net unrealized appreciation from options contracts written | | | (211,677 | ) | | | (383,422 | ) |
Change in net unrealized depreciation on open OTC swap contracts | | | 1,824,700 | | | | — | |
Change in net unrealized depreciation on open forward foreign currency contracts | | | 5,405,177 | | | | 469,417 | |
Increase/Decrease in variation margin on open centrally cleared swap contracts | | | 650,093 | | | | (15,232 | ) |
Net amortization (accretion) of premiums (discounts) of investments | | | (381,889 | ) | | | (1,189,593 | ) |
Net realized gain from unaffiliated investments | | | 5,981,549 | | | | 2,753,645 | |
Increase/Decrease in premium received on options contracts written | | | (36,564 | ) | | | 25,276 | |
Increase in variation margin on open futures contracts | | | (13,434 | ) | | | (72,368 | ) |
Increase in receivable for securities sold | | | (19,883,017 | ) | | | (30,748,421 | ) |
Increase in receivable for TBA securities sold | | | (6,950,665 | ) | | | (8,936,857 | ) |
Increase in dividends and interest receivable from unaffiliated investments | | | (360,306 | ) | | | (176,570 | ) |
Decrease in deposits for collateral from counterparty | | | 24,000 | | | | 907,493 | |
Increase in net upfront payments received/paid on OTC open swap contracts | | | (1,406,088 | ) | | | — | |
Increase/Decrease in prepaid trustee expenses | | | 594 | | | | (1,266,286 | ) |
Increase/Decrease in prepaid expenses | | | (2,114 | ) | | | 10,856 | |
Increase/Decrease in payable for securities purchased | | | 17,692,264 | | | | (357,798 | ) |
Increase/ Decrease in payable for TBA securities purchased | | | (18,026,509 | ) | | | 23,076,664 | |
Increase/Decrease in deposits for collateral from counterparty | | | (4,282,000 | ) | | | 110,000 | |
Increase/Decrease in investment management fee payable | | | (467 | ) | | | 7,760 | |
Increase/Decrease in interest expense payable | | | (3,186 | ) | | | 2,574 | |
Increase in custody fee payable | | | 40,223 | | | | 10,751 | |
Increase in transfer agent fees payable | | | 344 | | | | 8,903 | |
Increase in accrued expenses | | | 68,318 | | | | 92,619 | |
| | | | | | | | |
Net cash and foreign currency provided by/used in operating activities | | | 13,003,786 | | | | (53,212,148 | ) |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities: | | | | | | | | |
Proceeds from sale-buyback transactions | | | 572,413 | | | | 53,647,758 | |
Payments on sale-buyback transactions | | | — | | | | (53,715,946 | ) |
Proceeds from reverse repurchase agreements | | | 1,215,000 | | | | 42,700,220 | |
Proceeds from sale of shares | | | 51,375,425 | | | | 43,639,692 | |
Cost of shares repurchased | | | (66,117,090 | ) | | | (31,697,922 | ) |
Distributions to shareholders, net of reinvestments | | | (24 | ) | | | (81 | ) |
| | | | | | | | |
Net cash and foreign currency provided by/used in financing activities | | | (12,954,276 | ) | | | 54,573,721 | |
| | | | | | | | |
Net increase in cash and foreign currency(a) | | | 49,510 | | | | 1,361,573 | |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash, cash equivalents and foreign cash at the beginning of the year | | | 208,948 | | | | 464,520 | |
| | | | | | | | |
Cash, cash equivalents and foreign cash at end of the year | | | 258,458 | | | | 1,826,093 | |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | | (1,577,762 | ) | | | (5,674,221 | ) |
| | | | | | | | |
| (a) | Includes net change in unrealized appreciation on foreign currency of $201,307 and $369,464 for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
287
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Large Cap Equity Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 21.93 | | | | $20.91 | | | $ | 27.58 | | | $ | 21.62 | | | $ | 19.10 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.25 | | | | 0.23 | | | | 0.20 | | | | 0.22 | | | | 0.26 | |
Net realized and unrealized gain (loss) | | | 4.84 | | | | 2.58 | | | | (3.96 | ) | | | 6.49 | | | | 3.23 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 5.09 | | | | 2.81 | | | | (3.76 | ) | | | 6.71 | | | | 3.49 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.18 | ) | | | (0.20 | ) | | | (0.18 | ) | | | (0.20 | ) |
Net realized gain | | | (1.10 | ) | | | (1.61 | ) | | | (2.71 | ) | | | (0.57 | ) | | | (0.77 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.31 | ) | | | (1.79 | ) | | | (2.91 | ) | | | (0.75 | ) | | | (0.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 25.71 | | | | $21.93 | | | $ | 20.91 | | | $ | 27.58 | | | $ | 21.62 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 24.57 | % | | | 14.71 | % | | | (15.44 | )% | | | 31.79 | % | | | 18.85 | % |
Net Assets, End of Year (millions) | | $ | 2,647 | | | | $1,815 | | | $ | 1,685 | | | $ | 2,175 | | | $ | 1,854 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | % | | | 0.70 | % | | | 0.69 | % | | | 0.68 | % | | | 0.70 | % |
Net expenses(3) | | | 0.41 | | | | 0.47 | | | | 0.48 | | | | 0.47 | | | | 0.49 | |
Net investment income | | | 1.07 | | | | 1.12 | | | | 0.82 | | | | 0.91 | | | | 1.33 | |
Portfolio Turnover Rate | | | 25 | % | | | 34 | % | | | 20 | % | | | 15 | % | | | 21 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
288
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Small-Mid Cap Equity Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 15.87 | | | | $16.56 | | | $ | 24.35 | | | $ | 18.01 | | | $ | 18.60 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.14 | | | | 0.15 | | | | 0.12 | | | | 0.13 | | | | 0.13 | |
Net realized and unrealized gain (loss) | | | 2.25 | | | | 0.81 | | | | (3.25 | ) | | | 7.10 | | | | 1.48 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 2.39 | | | | 0.96 | | | | (3.13 | ) | | | 7.23 | | | | 1.61 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.16 | ) | | | (0.11 | ) | | | (0.08 | ) | | | (0.14 | ) | | | (0.10 | ) |
Net realized gain | | | — | | | | (1.54 | ) | | | (4.58 | ) | | | (0.75 | ) | | | (2.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (1.65 | ) | | | (4.66 | ) | | | (0.89 | ) | | | (2.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 18.10 | | | | $15.87 | | | $ | 16.56 | | | $ | 24.35 | | | $ | 18.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 15.19 | % | | | 6.47 | % | | | (15.89 | )% | | | 41.14 | % | | | 8.78 | % |
Net Assets, End of Year (millions) | | $ | 479 | | | | $ 490 | | | $ | 542 | | | $ | 677 | | | $ | 620 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.95 | % | | | 0.94 | % | | | 0.93 | % | | | 0.92 | % | | | 0.96 | % |
Net expenses(3) | | | 0.60 | | | | 0.60 | | | | 0.59 | | | | 0.58 | | | | 0.62 | |
Net investment income | | | 0.86 | | | | 0.99 | | | | 0.63 | | | | 0.61 | | | | 0.77 | |
Portfolio Turnover Rate | | | 56 | % | | | 23 | % | | | 41 | % | | | 29 | % | | | 45 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
289
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| International Equity Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 12.98 | | | | $11.19 | | | $ | 15.54 | | | $ | 12.27 | | | $ | 11.59 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.29 | | | | 0.25 | | | | 0.27 | | | | 0.21 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | 2.05 | | | | 2.11 | | | | (3.34 | ) | | | 3.30 | | | | 0.84 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 2.34 | | | | 2.36 | | | | (3.07 | ) | | | 3.51 | | | | 1.01 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.28 | ) | | | (0.21 | ) | | | (0.33 | ) | | | (0.24 | ) | | | (0.33 | ) |
Net realized gain | | | — | | | | (0.36 | ) | | | (0.95 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28 | ) | | | (0.57 | ) | | | (1.28 | ) | | | (0.24 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 15.04 | | | | $12.98 | | | $ | 11.19 | | | $ | 15.54 | | | $ | 12.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 18.36 | % | | | 21.72 | % | | | (21.37 | )% | | | 28.93 | % | | | 8.64 | % |
Net Assets, End of Year (millions) | | $ | 1,310 | | | | $1,176 | | | $ | 1,148 | | | $ | 1,458 | | | $ | 1,254 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.83 | % | | | 0.86 | % | | | 0.85 | % | | | 0.84 | % | | | 0.87 | % |
Net expenses(3) | | | 0.61 | | | | 0.68 | | | | 0.67 | | | | 0.67 | | | | 0.71 | |
Net investment income | | | 2.12 | | | | 2.01 | | | | 2.01 | | | | 1.50 | | | | 1.44 | |
Portfolio Turnover Rate | | | 26 | % | | | 33 | % | | | 38 | % | | | 52 | % | | | 39 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
290
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Emerging Markets Equity Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 12.70 | | | | $12.39 | | | $ | 17.44 | | | $ | 14.67 | | | $ | 14.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.26 | | | | 0.23 | | | | 0.30 | | | | 0.20 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 1.38 | | | | 0.31 | | | | (4.65 | ) | | | 2.90 | | | | 0.75 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 1.64 | | | | 0.54 | | | | (4.35 | ) | | | 3.10 | | | | 0.95 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.31 | ) | | | (0.23 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.28 | ) |
Net realized gain | | | — | | | | — | | | | (0.41 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.31 | ) | | | (0.23 | ) | | | (0.70 | ) | | | (0.33 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.03 | | | | $12.70 | | | $ | 12.39 | | | $ | 17.44 | | | $ | 14.67 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 13.27 | % | | | 4.64 | % | | | (25.82 | )% | | | 21.28 | % | | | 6.79 | % |
Net Assets, End of Year (millions) | | $ | 499 | | | | $ 491 | | | $ | 481 | | | $ | 563 | | | $ | 548 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.10 | % | | | 1.15 | % | | | 1.15 | % | | | 1.12 | % | | | 1.15 | % |
Net expenses(3) | | | 0.76 | | | | 0.82 | | | | 0.81 | | | | 0.80 | | | | 0.84 | |
Net investment income | | | 2.03 | | | | 1.87 | | | | 2.10 | | | | 1.18 | | | | 1.44 | |
Portfolio Turnover Rate | | | 26 | % | | | 12 | % | | | 14 | % | | | 53 | % | | | 23 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
291
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Core Fixed Income Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 6.75 | | | $ | 7.12 | | | $ | 8.39 | | | $ | 8.79 | | | $ | 8.42 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.27 | | | | 0.25 | | | | 0.14 | | | | 0.13 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | 0.20 | | | | (0.36 | ) | | | (1.20 | ) | | | (0.08 | ) | | | 0.42 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.47 | | | | (0.11 | ) | | | (1.06 | ) | | | 0.05 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.30 | ) | | | (0.25 | ) | | | (0.16 | ) | | | (0.17 | ) | | | (0.22 | ) |
Tax return of capital | | | (0.00 | ) | | | (0.01 | ) | | | — | | | | — | | | | — | |
Net realized gain | | | — | | | | — | | | | (0.05 | ) | | | (0.28 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.30 | ) | | | (0.26 | ) | | | (0.21 | ) | | | (0.45 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 6.92 | | | $ | 6.75 | | | $ | 7.12 | | | $ | 8.39 | | | $ | 8.79 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.97 | % | | | (1.60 | )% | | | (12.86 | )% | | | 0.58 | % | | | 7.46 | % |
Net Assets, End of Year (millions) | | $ | 1,865 | | | $ | 1,796 | | | $ | 1,352 | | | $ | 1,311 | | | $ | 981 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.53 | % | | | 0.55 | % | | | 0.56 | % | | | 0.56 | % | | | 0.58 | % |
Net expenses(3) | | | 0.48 | | | | 0.52 | | | | 0.53 | | | | 0.54 | | | | 0.56 | |
Net investment income | | | 4.00 | | | | 3.65 | | | | 1.85 | | | | 1.57 | | | | 2.27 | |
Portfolio Turnover Rate | | | 229 | % | | | 254 | % | | | 238 | % | | | 227 | % | | | 216 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
292
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| High Yield Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 3.14 | | | $ | 3.14 | | | $ | 3.72 | | | $ | 3.61 | | | $ | 3.76 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.22 | | | | 0.20 | | | | 0.17 | | | | 0.18 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | 0.11 | | | | — | | | | (0.56 | ) | | | 0.11 | | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.33 | | | | 0.20 | | | | (0.39 | ) | | | 0.29 | | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.20 | ) | | | (0.19 | ) | | | (0.18 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.20 | ) | | | (0.19 | ) | | | (0.18 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.25 | | | $ | 3.14 | | | $ | 3.14 | | | $ | 3.72 | | | $ | 3.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 10.96 | % | | | 6.71 | % | | | (10.88 | )% | | | 8.61 | % | | | 0.14 | % |
Net Assets, End of Year (millions) | | $ | 133 | | | $ | 128 | | | $ | 113 | | | $ | 213 | | | $ | 282 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.05 | % | | | 1.17 | % | | | 1.07 | % | | | 0.96 | % | | | 1.07 | % |
Net expenses(3) | | | 0.85 | | | | 0.97 | | | | 0.87 | | | | 0.76 | | | | 0.86 | |
Net investment income | | | 6.80 | | | | 6.30 | | | | 4.88 | | | | 4.79 | | | | 4.85 | |
Portfolio Turnover Rate | | | 44 | % | | | 25 | % | | | 46 | % | | | 117 | % | | | 84 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
293
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| International Fixed Income Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 6.40 | | | $ | 7.00 | | | $ | 8.12 | | | $ | 8.03 | | | $ | 8.35 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.19 | | | | 0.12 | | | | 0.07 | | | | 0.07 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 0.25 | | | | (0.13 | ) | | | (0.98 | ) | | | 0.08 | | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.44 | | | | (0.01 | ) | | | (0.91 | ) | | | 0.15 | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.03 | ) | | | (0.59 | ) | | | (0.12 | ) | | | — | | | | (0.35 | ) |
Net realized gain | | | (0.03 | ) | | | — | | | | (0.09 | ) | | | (0.06 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.06 | ) | | | (0.59 | ) | | | (0.21 | ) | | | (0.06 | ) | | | (0.37 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 6.78 | | | $ | 6.40 | | | $ | 7.00 | | | $ | 8.12 | | | $ | 8.03 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.85 | % | | | (0.15 | )% | | | (11.54 | )% | | | 1.86 | % | | | 0.75 | % |
Net Assets, End of Year (millions) | | $ | 179 | | | $ | 182 | | | $ | 171 | | | $ | 156 | | | $ | 135 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 0.97 | % | | | 0.95 | % | | | 0.93 | % | | | 0.97 | % | | | 1.16 | % |
Net expenses(3)(4) | | | 0.92 | | | | 0.90 | | | | 0.88 | | | | 0.92 | | | | 1.11 | |
Net investment income | | | 2.90 | | | | 1.86 | | | | 0.95 | | | | 0.92 | | | | 2.49 | |
Portfolio Turnover Rate | | | 328 | % | | | 381 | % | | | 312 | % | | | 402 | % | | | 437 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.01%, 0.00%, 0.00%, less than 0.005% and 0.09%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
294
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Municipal Bond Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 8.44 | | | $ | 8.55 | | | $ | 9.60 | | | $ | 9.53 | | | $ | 9.61 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.26 | | | | 0.23 | | | | 0.18 | | | | 0.17 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 0.24 | | | | (0.12 | ) | | | (1.03 | ) | | | 0.12 | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.50 | | | | 0.11 | | | | (0.85 | ) | | | 0.29 | | | | 0.19 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.26 | ) | | | (0.22 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.21 | ) |
Tax return of capital | | | (0.00 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gain | | | (0.04 | ) | | | — | | | | (0.02 | ) | | | (0.05 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.30 | ) | | | (0.22 | ) | | | (0.20 | ) | | | (0.22 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.64 | | | $ | 8.44 | | | $ | 8.55 | | | $ | 9.60 | | | $ | 9.53 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.02 | % | | | 1.35 | % | | | (8.91 | )% | | | 3.07 | % | | | 1.99 | % |
Net Assets, End of Year (millions) | | $ | 90 | | | $ | 99 | | | $ | 87 | | | $ | 92 | | | $ | 69 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | % | | | 0.76 | % | | | 0.71 | % | | | 0.73 | % | | | 0.73 | % |
Net expenses | | | 0.69 | | | | 0.76 | | | | 0.71 | | | | 0.73 | | | | 0.73 | |
Net investment income | | | 3.01 | | | | 2.66 | | | | 1.99 | | | | 1.79 | | | | 2.16 | |
Portfolio Turnover Rate | | | 40 | % | | | 28 | % | | | 48 | % | | | 7 | % | | | 10 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
295
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Inflation-Linked Fixed Income Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 8.12 | | | $ | 9.17 | | | $ | 11.16 | | | $ | 11.13 | | | $ | 10.19 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.31 | | | | 0.25 | | | | 0.87 | | | | 0.56 | | | | 0.18 | |
Net realized and unrealized gain (loss) | | | 0.20 | | | | (0.65 | ) | | | (1.54 | ) | | | 0.07 | | | | 0.88 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.51 | | | | (0.40 | ) | | | (0.67 | ) | | | 0.63 | | | | 1.06 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.30 | ) | | | (0.37 | ) | | | (0.93 | ) | | | (0.60 | ) | | | (0.12 | ) |
Net realized gain | | | (0.06 | ) | | | (0.28 | ) | | | (0.39 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.36 | ) | | | (0.65 | ) | | | (1.32 | ) | | | (0.60 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.27 | | | $ | 8.12 | | | $ | 9.17 | | | $ | 11.16 | | | $ | 11.13 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.44 | % | | | (4.51 | )% | | | (6.55 | )% | | | 5.87 | % | | | 10.38 | % |
Net Assets, End of Year (millions) | | $ | 147 | | | $ | 127 | | | $ | 102 | | | $ | 148 | | | $ | 156 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 2.54 | % | | | 2.35 | % | | | 1.08 | % | | | 0.93 | % | | | 1.27 | % |
Net expenses(3)(4) | | | 2.49 | | | | 2.30 | | | | 1.03 | | | | 0.88 | | | | 1.22 | |
Net investment income | | | 3.82 | | | | 2.96 | | | | 8.43 | | | | 5.08 | | | | 1.76 | |
Portfolio Turnover Rate | | | 121 | % | | | 56 | % | | | 57 | % | | | 104 | % | | | 193 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 1.67%, 1.32%, 0.17%, 0.03% and 0.35%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
296
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Ultra-Short Term Fixed Income Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 9.61 | | | $ | 9.69 | | | $ | 9.89 | | | $ | 9.99 | | | $ | 9.90 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.48 | | | | 0.32 | | | | 0.08 | | | | 0.05 | | | | 0.18 | |
Net realized and unrealized gain (loss) | | | 0.11 | | | | 0.14 | | | | (0.17 | ) | | | 0.01 | | | | 0.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.59 | | | | 0.46 | | | | (0.09 | ) | | | 0.06 | | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.54 | ) | | | (0.11 | ) | | | (0.16 | ) | | | (0.15 | ) |
Tax return of capital | | | (0.14 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.47 | ) | | | (0.54 | ) | | | (0.11 | ) | | | (0.16 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.73 | | | $ | 9.61 | | | $ | 9.69 | | | $ | 9.89 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.28 | % | | | 4.95 | % | | | (0.92 | )% | | | 0.61 | % | | | 2.36 | % |
Net Assets, End of Year (millions) | | $ | 315 | | | $ | 309 | | | $ | 506 | | | $ | 442 | | | $ | 398 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 0.69 | % | | | 0.81 | % | | | 0.67 | % | | | 0.67 | % | | | 0.69 | % |
Net expenses(3)(4) | | | 0.54 | | | | 0.76 | | | | 0.62 | | | | 0.62 | | | | 0.64 | |
Net investment income | | | 4.98 | | | | 3.34 | | | | 0.79 | | | | 0.50 | | | | 1.78 | |
Portfolio Turnover Rate | | | 87 | % | | | 42 | % | | | 86 | % | | | 55 | % | | | 96 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.01%, 0.14%, 0.02%, less than 0.005% and 0.02%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
297
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Alternative Strategies Fund | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value, Beginning of Year | | $ | 10.24 | | | $ | 10.69 | | | $ | 10.99 | | | $ | 10.04 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.34 | | | | 0.38 | | | | 0.20 | | | | 0.13 | | | | 0.15 | |
Net realized and unrealized gain (loss) | | | 0.52 | | | | (0.17 | ) | | | (0.42 | ) | | | 0.91 | | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.86 | | | | 0.21 | | | | (0.22 | ) | | | 1.04 | | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.64 | ) | | | (0.07 | ) | | | (0.09 | ) | | | (0.28 | ) |
Net realized gain | | | — | | | | (0.02 | ) | | | (0.01 | ) | | | — | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.33 | ) | | | (0.66 | ) | | | (0.08 | ) | | | (0.09 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 10.77 | | | $ | 10.24 | | | $ | 10.69 | | | $ | 10.99 | | | $ | 10.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 8.65 | % | | | 2.14 | % | | | (2.06 | )% | | | 10.39 | % | | | 2.61 | % |
Net Assets, End of Year (millions) | | $ | 163 | | | $ | 157 | | | $ | 147 | | | $ | 119 | | | $ | 39 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.39 | % | | | 1.50 | % | | | 1.59 | % | | | 1.56 | % | | | 1.85 | % |
Net expenses(3)(4) | | | 0.39 | | | | 0.50 | | | | 0.59 | | | | 0.56 | | | | 0.70 | |
Net investment income | | | 3.22 | | | | 3.70 | | | | 1.83 | | | | 1.24 | | | | 1.52 | |
Portfolio Turnover Rate | | | 13 | % | | | 27 | % | | | 18 | % | | | 18 | % | | | 34 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
| (3) | Does not reflect the Fund’s proportionate share of income and expenses from the Underlying Fund. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
298
| | |
| | | |
| Notes to Financial Statements | | |
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (the “Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund (individually, a “Fund” and collectively, the “Funds”). Alternative Strategies Fund will allocate its assets among shares of mutual funds, exchange-traded funds or closed-end funds managed by a third party professional money manager (“Underlying Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.
The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 – Investment Companies.
(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).
Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.
Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).
The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its Net Asset Value (“NAV”).
299
| | |
| | | |
| Notes to Financial Statements | | |
Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2 and 3). The three levels of the fair value hierarchy are as follows:
Level 1 – unadjusted quoted prices in active markets for identical securities.
Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – significant unobservable inputs (including assumptions made by the Manager or persons acting at their direction that are used in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, senior loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing
300
| | |
| | | |
| Notes to Financial Statements | | |
service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and Secured Overnight Financing Rate (“SOFR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 221,678,630 | * | | $ | 221,678,630 | | | $ | — | | | $ | — | * |
Consumer Discretionary | | | 237,484,635 | | | | 237,484,635 | | | | — | | | | — | |
Consumer Staples | | | 128,623,980 | | | | 128,623,980 | | | | — | | | | — | |
Energy | | | 93,836,077 | | | | 93,836,077 | | | | — | | | | — | |
Financials | | | 424,827,218 | | | | 424,827,218 | | | | — | | | | — | |
Health Care | | | 331,347,537 | | | | 331,347,537 | | | | — | | | | — | |
Industrials | | | 269,153,021 | | | | 269,153,021 | | | | — | | | | — | |
Information Technology | | | 681,376,815 | | | | 681,376,815 | | | | — | | | | — | |
Materials | | | 73,668,350 | | | | 73,668,350 | | | | — | | | | — | |
Real Estate | | | 76,722,521 | | | | 76,722,521 | | | | — | | | | — | |
Utilities | | | 54,811,760 | | | | 54,811,760 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Fund | | | 1,082,000 | | | | 1,082,000 | | | | — | | | | — | |
Time Deposits | | | 50,331,780 | | | | — | | | | 50,331,780 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 2,644,944,324 | * | | $ | 2,594,612,544 | | | $ | 50,331,780 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Securities Lending Transactions — Liabilities | | $ | (1,082,000 | ) | | $ | — | | | $ | (1,082,000 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 572,799 | | | $ | 572,799 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 572,799 | | | $ | 572,799 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
301
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 12,268,251 | * | | $ | 12,268,251 | | | $ | — | | | $ | — | * |
Consumer Discretionary | | | 54,403,841 | * | | | 54,403,841 | | | | — | | | | — | * |
Consumer Staples | | | 11,446,775 | | | | 11,446,775 | | | | — | | | | — | |
Energy | | | 23,119,637 | * | | | 23,119,637 | | | | — | | | | — | * |
Financials | | | 70,495,385 | | | | 70,495,385 | | | | — | | | | — | |
Health Care | | | 67,341,474 | | | | 67,334,821 | | | | 6,653 | | | | — | |
Industrials | | | 93,995,528 | | | | 93,995,528 | | | | — | | | | — | |
Information Technology | | | 72,103,474 | | | | 72,103,474 | | | | — | | | | — | |
Materials | | | 22,101,198 | | | | 22,098,259 | | | | 2,939 | | | | — | |
Real Estate | | | 24,481,483 | | | | 24,481,483 | | | | — | | | | — | |
Utilities | | | 15,746,088 | | | | 15,746,088 | | | | — | | | | — | |
Warrants: | | | | | | | | | | | | | | | | |
Health Care | | | 818 | | | | — | | | | 818 | | | | — | |
Corporate Bond & Note | | | 727,272 | | | | — | | | | 727,272 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Fund | | | 3,848,832 | | | | 3,848,832 | | | | — | | | | — | |
Time Deposits | | | 8,439,082 | | | | — | | | | 8,439,082 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 480,519,138 | * | | $ | 471,342,374 | | | $ | 9,176,764 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Securities Lending Transactions — Liabilities | | $ | (3,848,832 | ) | | $ | — | | | $ | (3,848,832 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 106,510 | | | $ | 106,510 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 106,510 | | | $ | 106,510 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 149,693,485 | | | $ | — | | | $ | 149,693,485 | | | $ | — | |
Germany | | | 106,588,854 | | | | — | | | | 106,588,854 | | | | — | |
Japan | | | 252,295,634 | | | | — | | | | 252,295,634 | | | | — | |
Netherlands | | | 66,391,802 | | | | 839,835 | | | | 65,551,967 | | | | — | |
Switzerland | | | 111,978,021 | | | | 126,258 | | | | 111,851,763 | | | | — | |
United Kingdom | | | 219,583,957 | | | | 1,928,256 | | | | 217,655,701 | | | | — | |
Other Countries** | | | 370,215,794 | | | | 51,446,953 | | | | 318,768,841 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Germany | | | 2,835,719 | | | | — | | | | 2,835,719 | | | | — | |
Open End Mutual Fund Security: | | | | | | | | | | | | | | | | |
United States | | | 1,585,112 | | | | 1,585,112 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Fund | | | 11,934,844 | | | | 11,934,844 | | | | — | | | | — | |
Time Deposits | | | 20,958,363 | | | | — | | | | 20,958,363 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total — Investments, at Value | | $ | 1,314,061,585 | | | $ | 67,861,258 | | | $ | 1,246,200,327 | | | $ | — | |
| | | | | | | | | | | | | | | | |
302
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Security Lending Transactions — Liabilities | | $ | (11,934,844 | ) | | $ | — | | | $
| (11,934,844
| )
| | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Asset*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 35,266 | | | $ | 35,266 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 35,266 | | | $ | 35,266 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
China | | $ | 103,833,827 | | | $ | 16,766,829 | | | $ | 87,066,996 | | | $ | 2 | |
India | | | 90,352,368 | | | | 12,722,020 | | | | 77,630,348 | | | | — | |
South Korea | | | 53,633,858 | | | | 19,468 | | | | 53,614,390 | | | | — | |
Taiwan | | | 77,911,396 | | | | 17,108,531 | | | | 60,802,865 | | | | — | |
Other Countries** | | | 157,316,197 | * | | | 58,672,322 | | | | 98,611,252 | | | | 32,623 | * |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 2,793,924 | | | | 2,793,924 | | | | — | | | | — | |
Chile | | | 144,625 | | | | 144,625 | | | | — | | | | — | |
Colombia | | | 94,441 | | | | 94,441 | | | | — | | | | — | |
Mexico | | | 254,710 | | | | 254,710 | | | | — | | | | — | |
Russia | | | 850 | | | | — | | | | — | | | | 850 | |
South Korea | | | 5,499,662 | | | | — | | | | 5,499,662 | | | | — | |
Rights: | | | | | | | | | | | | | | | | |
Brazil | | | 603 | | | | 603 | | | | — | | | | — | |
Saudi Arabia | | | 29,333 | | | | — | | | | 29,333 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Fund | | | 3,648,467 | | | | 3,648,467 | | | | — | | | | — | |
Time Deposits | | | 10,682,243 | | | | — | | | | 10,682,243 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 506,196,504 | * | | $ | 112,225,940 | | | $ | 393,937,089 | | | $ | 33,475 | * |
| | | | | | | | | | | | | | | | |
| Security Lending Transactions — Liabilities | | $ | (3,648,467 | ) | | $ | — | | | $ | (3,648,467 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 8,519 | | | $ | 8,519 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 8,519 | | | $ | 8,519 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 577,220,151 | * | | $ | — | | | $ | 577,220,151 | | | $ | — | * |
Mortgage-Backed Securities | | | 527,066,614 | | | | — | | | | 527,066,614 | | | | — | |
U.S. Government Agencies & Obligations | | | 404,115,715 | | | | — | | | | 404,115,715 | | | | — | |
Collateralized Mortgage Obligations | | | 220,006,556 | | | | — | | | | 220,006,556 | | | | — | |
Sovereign Bonds | | | 73,381,428 | | | | — | | | | 73,381,428 | | | | — | |
Asset-Backed Securities | | | 15,818,466 | | | | — | | | | 15,818,466 | | | | — | |
Senior Loans | | | 13,842,607 | | | | — | | | | 13,842,607 | | | | — | |
Municipal Bonds | | | 3,076,866 | | | | — | | | | 3,076,866 | | | | — | |
303
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
Common Stock: | | | | | | | | | | | | | | | | |
Telecommunications | | $ | 422,395 | | | $ | — | | | $ | 422,395 | | | $ | — | |
Purchased Options | | | 8,063 | | | | 8,063 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Time Deposits | | | 109,431,312 | | | | — | | | | 109,431,312 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,944,390,173 | * | | $ | 8,063 | | | $ | 1,944,382,110 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 934,175 | | | $ | 934,175 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 1,374,834 | | | | — | | | | 1,374,834 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 176,380 | | | | — | | | | 176,380 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 230,748 | | | | — | | | | 230,748 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 2,716,137 | | | $ | 934,175 | | | $ | 1,781,962 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Liabilities*** | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (277,256 | ) | | $ | (277,256 | ) | | $ | — | | | $ | — | |
Futures Contracts | | | (2,198,100 | ) | | | (2,198,100 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (2,286,814 | ) | | | — | | | | (2,286,814 | ) | | | — | |
OTC Interest Rate Swap | | | (782,669 | ) | | | — | | | | (782,669 | ) | | | — | |
Centrally Cleared Interest Rate Swap | | | (1,431,221 | ) | | | — | | | | (1,431,221 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial — Instruments Liabilities | | $ | (6,976,060 | ) | | $ | (2,475,356 | ) | | $ | (4,500,704 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 119,155,597 | * | | $ | — | | | $ | 119,155,597 | | | $ | — | * |
Collateralized Mortgage Obligations | | | 5,470,951 | | | | — | | | | 5,470,951 | | | | — | |
Senior Loans | | | 3,148,964 | | | | — | | | | 3,148,964 | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Consumer Non-Cyclical | | | 31,914 | | | | — | | | | 31,914 | | | | — | |
Energy | | | 171,585 | | | | 171,585 | | | | — | | | | — | |
Sovereign Bond | | | 44,422 | | | | — | | | | 44,422 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Time Deposits | | | 4,437,836 | | | | — | | | | 4,437,836 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 132,461,269 | * | | $ | 171,585 | | | $ | 132,289,684 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities | | $ | 58,556,889 | | | $ | — | | | $ | 58,556,889 | | | $ | — | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
Japan | | | 15,493,336 | | | | — | | | | 15,493,336 | | | | — | |
Spain | | | 8,880,684 | | | | — | | | | 8,880,684 | | | | — | |
Other Countries** | | | 28,177,076 | | | | — | | | | 28,177,076 | | | | — | |
Collateralized Mortgage Obligations | | | 30,854,119 | | | | — | | | | 30,854,119 | | | | — | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | |
Other Countries** | | | 17,001,255 | | | | — | | | | 17,001,255 | | | | — | |
U.S. Government Obligations | | | 14,497,491 | | | | — | | | | 14,497,491 | | | | — | |
Asset-Backed Securities | | | 269,750 | | | | — | | | | 269,750 | | | | — | |
304
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
Purchased Options | | $ | 187,978 | | | $ | — | | | $ | 187,978 | | | $ | — | |
Short-Term Investments: | | | | | | | | | | | | | |
Commercial Papers | | | 699,417 | | | | — | | | | 699,417 | | | | — | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
Japan | | | 12,929,178 | | | | — | | | | 12,929,178 | | | | — | |
Time Deposits | | | 3,966,106 | | | | — | | | | 3,966,106 | | | | — | |
U.S. Government Obligations | | | 433,379 | | | | — | | | | 433,379 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 191,946,658 | | | $ | — | | | $ | 191,946,658 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 658,011 | | | $ | 658,011 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 1,251,064 | | | | — | | | | 1,251,064 | | | | — | |
OTC Interest Rate Swaps | | | 9,433 | | | | — | | | | 9,433 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 2,798,819 | | | | — | | | | 2,798,819 | | | | — | |
OTC Credit Default Swap | | | 10,004 | | | | — | | | | 10,004 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 74,807 | | | | — | | | | 74,807 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 4,802,138 | | | $ | 658,011 | | | $ | 4,144,127 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Liabilities*** | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (126,300 | ) | | $ | — | | | $ | (126,300 | ) | | $ | — | |
Reverse Repurchase Agreement | | | (1,215,000 | ) | | | — | | | | (1,215,000 | ) | | | — | |
Forward Sale Commitments | | | (32,819,271 | ) | | | — | | | | (32,819,271 | ) | | | — | |
Futures Contracts | | | (177,671 | ) | | | (177,671 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (3,508,670 | ) | | | — | | | | (3,508,670 | ) | | | — | |
OTC Total Return Swaps | | | (565,579 | ) | | | — | | | | (565,579 | ) | | | — | |
OTC Interest Rate Swaps | | | (37,507 | ) | | | — | | | | (37,507 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (2,507,559 | ) | | | — | | | | (2,507,559 | ) | | | — | |
OTC Credit Default Swaps | | | (2,530 | ) | | | — | | | | (2,530 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (52,961 | ) | | | — | | | | (52,961 | ) | | | — | |
OTC Cross Currency Swap | | | (1,255,324 | ) | | | — | | | | (1,255,324 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments —Liabilities | | $ | (42,268,372 | ) | | $ | (177,671 | ) | | $ | (42,090,701 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | | | | | | | | | | | | | | | | |
Investments, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 86,469,564 | | | $ | — | | | $ | 86,469,564 | | | $ | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Municipal Bonds | | | 401,726 | | | | — | | | | 401,726 | | | | — | |
Time Deposits | | | 2,982,381 | | | | — | | | | 2,982,381 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 89,853,671 | | | $ | — | | | $ | 89,853,671 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | 164,317,102 | | | $ | — | | | $ | 164,317,102 | | | $ | — | |
Mortgage-Backed Securities | | | 20,381,861 | | | | — | | | | 20,381,861 | | | | — | |
Collateralized Mortgage Obligations | | | 18,617,115 | | | | — | | | | 18,617,115 | | | | — | |
Sovereign Bonds | | | 6,924,053 | | | | — | | | | 6,924,053 | | | | — | |
Corporate Bonds & Notes | | | 180,194 | | | | — | | | | 180,194 | | | | — | |
305
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Time Deposits | | $ | 771,069 | | | $ | — | | | $ | 771,069 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 211,191,394 | | | $ | — | | | $ | 211,191,394 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 199,859 | | | $ | 199,859 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 49,852 | | | | — | | | | 49,852 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 1,321,818 | | | | — | | | | 1,321,818 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 624,604 | | | | — | | | | 624,604 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 2,196,133 | | | $ | 199,859 | | | $ | 1,996,274 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Liabilities*** | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (129,797 | ) | | $ | (1,603 | ) | | $ | (128,194 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (78,274,263 | ) | | | — | | | | (78,274,263 | ) | | | — | |
Futures Contracts | | | (87,900 | ) | | | (87,900 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (248,248 | ) | | | — | | | | (248,248 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (338,909 | ) | | | — | | | | (338,909 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (1,292,296 | ) | | | — | | | | (1,292,296 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments —Liabilities | | $ | (80,371,413 | ) | | $ | (89,503 | ) | | $ | (80,281,910 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 148,502,516 | | | $ | — | | | $ | 148,502,516 | | | $ | — | |
Collateralized Mortgage Obligations | | | 72,785,913 | | | | — | | | | 72,785,913 | | | | — | |
Asset-Backed Securities | | | 54,809,187 | | | | — | | | | 54,809,187 | | | | — | |
U.S. Government Agencies & Obligations | | | 20,842,684 | | | | — | | | | 20,842,684 | | | | — | |
Mortgage-Backed Securities | | | 7,976,068 | | | | — | | | | 7,976,068 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Commercial Papers | | | 3,597,004 | | | | — | | | | 3,597,004 | | | | — | |
Time Deposits | | | 4,525,861 | | | | — | | | | 4,525,861 | | | | — | |
U.S. Government Obligations | | | 20,583,298 | | | | — | | | | 20,583,298 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 333,622,531 | | | $ | — | | | $ | 333,622,531 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments — Assets*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 67,477 | | | $ | 67,477 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 67,477 | | | $ | 67,477 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities*** | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (14,563 | ) | | $ | (14,563 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments —Liabilities | | $ | (14,563 | ) | | $ | (14,563 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
306
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2024 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | $ | 161,668,797 | | | $ | 161,668,797 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 161,668,797 | | | $ | 161,668,797 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | Includes securities that are fair valued using significant unobservable inputs at $0. |
| ** | Other countries represents countries that are individually less than 5% of Net Assets. |
| *** | Swaps, futures contracts and forward foreign currency contracts are valued at the unrealized appreciation (depreciation) on the instrument and option contracts written are shown at value. |
There were no significant transfers in or out of level 3 for the year ended August 31, 2024 for any of the Funds.
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at the year-end for each Fund are disclosed in the Fund’s Schedule of Investments.
Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:
(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin, which is included in deposits for collateral with counterparty on the Statements of Assets and Liabilities. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.
The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.
(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they
307
| | |
| | | |
| Notes to Financial Statements | | |
may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at year-end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from
308
| | |
| | | |
| Notes to Financial Statements | | |
investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.
Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.
(viii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.
Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases, a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.
For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.
309
| | |
| | | |
| Notes to Financial Statements | | |
(ix) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.
The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.
(x) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
(xi) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
310
| | |
| | | |
| Notes to Financial Statements | | |
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.
(xiv) Total Return Swaps. The Fund may enter into total return swap contracts to gain exposure and benefit from a reference asset (single asset, or a basket of assets) without actually having to own it. Total return swap contracts are agreements where the total return of a reference asset is paid in exchange for periodic cash flows. The deal is structured such that the total return (asset income plus capital appreciation/depreciation) is exchanged, in the cash flows. Periodic payments received or made by the Fund are recorded as realized gains or losses in the Statements of Operations.
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2024:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 572,799 | | | $ | 572,799 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,655,488 | | | $ | 2,655,488 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 173,047 | | | $ | 173,047 | |
| | | | | | | | | | | | | | | | | | | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 106,510 | | | $ | 106,510 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 105,940 | | | $ | 105,940 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 117,604 | | | $ | 117,604 | |
| | | | | | | | | | | | | | | | | | | | |
311
| | |
| | | |
| Notes to Financial Statements | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 35,266 | | | $ | 35,266 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 215,872 | | | $ | 215,872 | |
Forward foreign currency contracts | | | — | | | | 367 | | | | — | | | | — | | | | 367 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 367 | | | $ | — | | | $ | 215,872 | | | $ | 216,239 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 36,756 | | | $ | 36,756 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 8,519 | | | $ | 8,519 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 20,138 | | | $ | 20,138 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 18,485 | | | $ | 18,485 | |
| | | | | | | | | | | | | | | | | | | | |
312
| | |
| | | |
| Notes to Financial Statements | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 8,063 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,063 | |
Unrealized appreciation on open futures contracts (b) | | | 934,175 | | | | — | | | | — | | | | — | | | | 934,175 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 1,374,834 | | | | — | | | | — | | | | 1,374,834 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 176,380 | | | | — | | | | 230,748 | | | | — | | | | 407,128 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,118,618 | | | $ | 1,374,834 | | | $ | 230,748 | | | $ | — | | | $ | 2,724,200 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 277,256 | | | $ | — | | | $ | — | | | $ | — | | | $ | 277,256 | |
Unrealized depreciation on open futures contracts (b) | | | 2,198,100 | | | | — | | | | — | | | | — | | | | 2,198,100 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 2,286,814 | | | | — | | | | — | | | | 2,286,814 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 1,431,221 | | | | — | | | | — | | | | — | | | | 1,431,221 | |
Unrealized depreciation on OTC swaps (a) | | | 782,669 | | | | — | | | | — | | | | — | | | | 782,669 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 4,689,246 | | | $ | 2,286,814 | | | $ | — | | | $ | — | | | $ | 6,976,060 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (4,328,895 | ) | | $ | (177,518 | ) | | $ | — | | | $ | — | | | $ | (4,506,413 | ) |
Futures contracts. | | | 738,963 | | | | — | | | | — | | | | — | | | | 738,963 | |
Options contracts written | | | 5,445,391 | | | | 12,412 | | | | — | | | | — | | | | 5,457,803 | |
Swap contracts | | | 5,726,129 | | | | — | | | | 697,192 | | | | — | | | | 6,423,321 | |
Forward foreign currency contracts | | | — | | | | (1,319,343 | ) | | | — | | | | — | | | | (1,319,343 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 7,581,588 | | | $ | (1,484,449 | ) | | $ | 697,192 | | | $ | — | | | $ | 6,794,331 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 303,781 | | | $ | 37,700 | | | $ | — | | | $ | — | | | $ | 341,481 | |
Futures contracts. | | | (3,428,915 | ) | | | — | | | | — | | | | — | | | | (3,428,915 | ) |
Options contracts written | | | (609,116 | ) | | | — | | | | — | | | | — | | | | (609,116 | ) |
Swap contracts | | | (6,470,885 | ) | | | — | | | | (53,459 | ) | | | — | | | | (6,524,344 | ) |
Forward foreign currency contracts | | | — | | | | (82,190 | ) | | | — | | | | — | | | | (82,190 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (10,205,135 | ) | | $ | (44,490 | ) | | $ | (53,459 | ) | | $ | — | | | $ | (10,303,084 | ) |
| | | | | | | | | | | | | | | | | | | | |
313
| | |
| | | |
| Notes to Financial Statements | | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 171,329 | | | $ | 16,649 | | | $ | — | | | $ | — | | | $ | 187,978 | |
Unrealized appreciation on open futures contracts (b) | | | 658,011 | | | | — | | | | — | | | | — | | | | 658,011 | |
Unrealized appreciation on forward foreign currency contracts (c) . | | | — | | | | 1,251,064 | | | | — | | | | — | | | | 1,251,064 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 2,798,819 | | | | — | | | | 74,807 | | | | — | | | | 2,873,626 | |
Unrealized appreciation on OTC swaps (c) | | | 9,433 | | | | — | | | | 10,004 | | | | — | | | | 19,437 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,637,592 | | | $ | 1,267,713 | | | $ | 84,811 | | | $ | — | | | $ | 4,990,116 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 126,300 | | | $ | — | | | $ | — | | | $ | — | | | $ | 126,300 | |
Unrealized depreciation on open futures contracts (b) | | | 177,671 | | | | — | | | | — | | | | — | | | | 177,671 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 3,508,670 | | | | — | | | | — | | | | 3,508,670 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 2,507,559 | | | | — | | | | 52,961 | | | | — | | | | 2,560,520 | |
Unrealized depreciation on OTC swaps (a) | | | 603,086 | | | | 1,255,324 | | | | 2,530 | | | | — | | | | 1,860,940 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,414,616 | | | $ | 4,763,994 | | | $ | 55,491 | | | $ | — | | | $ | 8,234,101 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options. | | $ | (104,870 | ) | | $ | (6,058 | ) | | $ | — | | | $ | — | | | $ | (110,928 | ) |
Futures contracts. | | | 374,197 | | | | — | | | | — | | | | — | | | | 374,197 | |
Options contracts written | | | 356,636 | | | | 16,713 | | | | — | | | | — | | | | 373,349 | |
Swap contracts | | | (1,810,844 | ) | | | 1,009,879 | | | | 138,925 | | | | (715,591 | ) | | | (1,377,631 | ) |
Forward foreign currency contracts | | | — | | | | 8,304,179 | | | | — | | | | — | | | | 8,304,179 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,184,881 | ) | | $ | 9,324,713 | | | $ | 138,925 | | | $ | (715,591 | ) | | $ | 7,563,166 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (93,077 | ) | | $ | (16,896 | ) | | $ | — | | | $ | — | | | $ | (109,973 | ) |
Futures contracts. | | | 693,925 | | | | — | | | | — | | | | — | | | | 693,925 | |
Options contracts written | | | 211,677 | | | | — | | | | — | | | | — | | | | 211,677 | |
Swap contracts | | | 2,611,814 | | | | (1,174,483 | ) | | | 2,467 | | | | — | | | | 1,439,798 | |
Forward foreign currency contracts | | | — | | | | (5,405,177 | ) | | | — | | | | — | | | | (5,405,177 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,424,339 | | | $ | (6,596,556 | ) | | $ | 2,467 | | | $ | — | | | $ | (3,169,750 | ) |
| | | | | | | | | | | | | | | | | | | | |
314
| | |
| | | |
| Notes to Financial Statements | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (39,655 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (39,655 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 22,255 | | | $ | — | | | $ | — | | | $ | — | | | $ | 22,255 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | | | | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 199,859 | | | $ | — | | | $ | — | | | $ | — | | | $ | 199,859 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 49,852 | | | | — | | | | — | | | | 49,852 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 1,946,422 | | | | — | | | | — | | | | — | | | | 1,946,422 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,146,281 | | | $ | 49,852 | | | $ | — | | | $ | — | | | $ | 2,196,133 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 129,797 | | | $ | — | | | $ | — | | | $ | — | | | $ | 129,797 | |
Unrealized depreciation on open futures contracts (b) | | | 87,900 | | | | — | | | | — | | | | — | | | | 87,900 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 248,248 | | | | — | | | | — | | | | 248,248 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 1,631,205 | | | | — | | | | — | | | | — | | | | 1,631,205 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,848,902 | | | $ | 248,248 | | | $ | — | | | $ | — | | | $ | 2,097,150 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (68,276 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (68,276 | ) |
Futures contracts | | | (279,568 | ) | | | — | | | | — | | | | — | | | | (279,568 | ) |
Options contracts written | | | 306,904 | | | | — | | | | — | | | | — | | | | 306,904 | |
Swap contracts | | | (7,891 | ) | | | — | | | | 83 | | | | — | | | | (7,808 | ) |
Forward foreign currency contracts | | | — | | | | 578,184 | | | | — | | | | — | | | | 578,184 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (48,831 | ) | | $ | 578,184 | | | $ | 83 | | | $ | — | | | $ | 529,436 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (236,771 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (236,771 | ) |
Futures contracts | | | 185,781 | | | | — | | | | — | | | | — | | | | 185,781 | |
Options contracts written | | | 383,422 | | | | — | | | | — | | | | — | | | | 383,422 | |
Swap contracts | | | 229,761 | | | | — | | | | (14 | ) | | | — | | | | 229,747 | |
Forward foreign currency contracts | | | — | | | | (469,417 | ) | | | — | | | | — | | | | (469,417 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 562,193 | | | $ | (469,417 | ) | | $ | (14 | ) | | $ | — | | | $ | 92,762 | |
| | | | | | | | | | | | | | | | | | | | |
315
| | |
| | | |
| Notes to Financial Statements | | |
Ultra-Short Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 67,477 | | | $ | — | | | $ | — | | | $ | — | | | $ | 67,477 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | 14,563 | | | $ | — | | | $ | — | | | $ | — | | | $ | 14,563 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2024: | |
| | | | | |
| Location | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (746,439 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (746,439 | ) |
Swap contracts | | | (102,194 | ) | | | — | | | | (281,093 | ) | | | — | | | | (383,287 | ) |
Forward foreign currency contracts | | | — | | | | 2,231,075 | | | | — | | | | — | | | | 2,231,075 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (848,633 | ) | | $ | 2,231,075 | | | $ | (281,093 | ) | | $ | — | | | $ | 1,101,349 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 294,180 | | | $ | — | | | $ | — | | | $ | — | | | $ | 294,180 | |
Swap contracts | | | — | | | | — | | | | 357,055 | | | | — | | | | 357,055 | |
Forward foreign currency contracts | | | — | | | | (865,197 | ) | | | — | | | | — | | | | (865,197 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 294,180 | | | $ | (865,197 | ) | | $ | 357,055 | | | $ | — | | | $ | (213,962 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on OTC swap contracts or options contracts written, at value. |
| (b) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the open exchanged-traded futures contracts table in the Fund’s Schedule of Investments. |
| (c) | Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on OTC swap contracts. |
| (d) | Statements of Operations location: Net realized gain (loss) from unaffiliated investments, futures contracts, options contracts written, swap contracts or forward foreign currency contracts. |
| (e) | Statements of Operations location: Change in net unrealized appreciation (depreciation) from unaffiliated investments, futures contracts, options contracts written, swap contracts or forward foreign currency contracts. |
| (f) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the open swap contracts table in the Fund’s Schedule of Investments. |
The average monthly notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the monthly average market value of options contracts written and purchased options outstanding during the year ended August 31, 2024 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 16,815,468 | |
316
| | |
| | | |
| Notes to Financial Statements | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,857,796 | |
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,214,743 | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 666,809 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Purchased options | | $ | 186,220 | | | $ | 11,962 | | | $ | — | | | $ | — | |
Futures contracts | | | 735,821,884 | | | | — | | | | — | | | | — | |
Option contracts written | | | 342,671 | | | | 3,043 | | | | — | | | | — | |
Swap contracts | | | 78,082,123 | | | | — | | | | 45,294,013 | | | | — | |
Forward foreign currency contracts | | | — | | | | 93,590,688 | | | | — | | | | — | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Purchased options | | $ | 189,969 | | | $ | 20,845 | | | $ | — | | | $ | — | |
Futures contracts | | | 190,390,343 | | | | — | | | | — | | | | — | |
Option contracts written | | | 215,612 | | | | 2,539 | | | | — | | | | — | |
Swap contracts | | | 407,695,218 | | | | 11,577,275 | | | | 42,418,388 | | | | — | |
Forward foreign currency contracts | | | — | | | | 234,742,682 | | | | — | | | | — | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Futures contracts | | $ | 810,387 | | | $ | — | | | $ | — | | | $ | — | |
317
| | |
| | | |
| Notes to Financial Statements | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | |
Purchased options | | $ | 85,692 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 58,445,939 | | | | — | | | | — | | | | — | |
Option contracts written | | | 280,646 | | | | — | | | | — | | | | — | |
Swap contracts | | | 76,746,442 | | | | — | | | | 30,769 | | | | — | |
Forward foreign currency contracts | | | — | | | | 28,873,134 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 67,448,963 | | | $ | — | | | $ | — | | | $ | — | |
Swap contracts | | | — | | | | — | | | | 5,400,000 | | | | — | |
Forward foreign currency contracts | | | — | | | | 25,956,422 | | | | — | | | | — | |
(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.
(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.
(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not
318
| | |
| | | |
| Notes to Financial Statements | | |
provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances.
The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2024:
Gross Amounts Not Offset in the Statements of Assets and Liabilities
| | | | | | | | | | | | | | | | |
| Fund | | Gross Asset Amount Presented in the Statements of Assets and Liabilities (a) | | | Financial Instrument | | | Collateral Received (b)(c) | | | Net Amount (Not Less than $0) | |
Large Cap Equity Fund | | $ | 1,411,251 | | | $ | — | | | $ | (1,411,251 | ) | | $ | 0 | |
Small-Mid Cap Equity Fund | | | 4,242,817 | | | | — | | | | (4,242,817 | ) | | | 0 | |
International Equity Fund | | | 20,261,565 | | | | — | | | | (20,261,565 | ) | | | 0 | |
Emerging Markets Equity Fund | | | 4,752,230 | | | | — | | | | (4,752,230 | ) | | | 0 | |
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $1,082,000, $3,848,832, $11,934,844 and $3,648,467, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments. In addition, the Funds received non-cash collateral of $359,056, $451,078, $8,988,523 and $1,190,470, respectively, in the form of U.S. Government Obligations, which the Funds cannot sell or repledge, and accordingly are not reflected in the Schedules of Investments. |
| (c) | The actual collateral received could be greater than the amount shown here due to overcollateralization. |
FASB ASC 860, “Transfers & Servicing: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures”, is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowings.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of August 31, 2024:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2024 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 1,082,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,082,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 1,082,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,082,000 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 1,082,000 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 3,848,832 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,848,832 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 3,848,832 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,848,832 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 3,848,832 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 11,934,844 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,934,844 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 11,934,844 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,934,844 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 11,934,844 | |
| | | | | | | | | | | | | | | | | | | | |
319
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2024 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 3,648,467 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,648,467 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 3,648,467 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,648,467 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 3,648,467 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreement Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 1,215,000 | | | $ | — | | | $ | — | | | $ | 1,215,000 | |
| | | | | | | | | | | | | | | | | | | | |
| Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 572,413 | | | $ | — | | | $ | — | | | $ | 572,413 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 1,787,413 | | | $ | — | | | $ | — | | | $ | 1,787,413 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreement transactions | | | | | | | $ | 1,215,000 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transactions | | | | | | | $ | 572,413 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 78,274,263 | | | $ | — | | | $ | — | | | $ | 78,274,263 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 78,274,263 | | | $ | — | | | $ | — | | | $ | 78,274,263 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 78,274,263 | |
| | | | | | | | | | | | | | | | | | | | |
(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.
Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments.” The proceeds and value of these commitments are recorded as Forward Sale Commitments, at value in the Statements of Assets and Liabilities.
(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.
The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount
320
| | |
| | | |
| Notes to Financial Statements | | |
of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.
(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.
Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(k) Foreign Investment and Currency Risks. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.
(m) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
(n) Market Risk. The value of an investment in the Fund is based on the values of the Fund’s investments, which change due to economic and other events that affect markets generally, as well as those that affect particular regions, countries, industries, companies or governments. The risks associated with these developments may be magnified if certain social, political, economic and other conditions and events adversely interrupt the global economy and financial markets. Securities in the Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters and extreme weather events, health emergencies (such as epidemics and pandemics), terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, health emergencies, social and political (including geopolitical) discord and tensions or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and
321
| | |
| | | |
| Notes to Financial Statements | | |
global financial markets. It is difficult to predict when events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects (which may last for extended periods). These events may negatively impact broad segments of businesses and populations and have a significant and rapid negative impact on the performance of the Fund’s investments and exacerbate pre-existing risks to the Fund. The occurrence, duration and extent of these or other types of adverse economic and market conditions and uncertainty over the long term cannot be reasonably projected or estimated at this time. The ultimate impact of public health emergencies or other adverse economic or market developments and the extent to which the associated conditions impact the Fund and its investments will also depend on other future developments, which are highly uncertain, difficult to accurately predict and subject to change at any time. The financial performance of the Fund’s investments (and, in turn, the Fund’s investment results) as well as their liquidity may be adversely affected because of these and similar types of factors and developments, which may in turn impact valuation, the Fund’s ability to sell securities and/or its ability to meet redemptions.
(o) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded as income from non-cash dividends at fair value. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.
(p) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(q) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Alternative Strategies Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.
The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
322
| | |
| | | |
| Notes to Financial Statements | | |
(r) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2023 tax returns. Each Fund’s federal tax returns for the prior four fiscal years remain subject to examination by the Internal Revenue Service.
(s) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
| | | | | | | | |
| Fund | | Distributable earnings/ (losses) | | | Paid-in-capital | |
Large Cap Equity Fund | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | — | | | | — | |
International Equity Fund | | | — | | | | — | |
Emerging Markets Fund | | | — | | | | — | |
Core Fixed Income Fund | | | — | | | | — | |
High Yield Fund | | | — | | | | — | |
International Fixed Income Fund | | | — | | | | — | |
Municipal Bond Fund | | | 39,392 | | |
| (39,392
| )
|
Inflation-Linked Fixed Income Fund | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund | | | — | | | | — | |
Alternative Strategies Fund | | | 1,621 | | | | (1,621 | ) |
(t) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(u) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of the securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.
(v) Indemnification. The Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds’ that have not yet occurred.
(w) Senior Floating-Rate Loans. Interests in senior floating-rate loans (“Senior Loans”) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other
323
| | |
| | | |
| Notes to Financial Statements | | |
Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Funds based on information available to such managers. The portfolio managers of other Funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Funds. At times, the fair value of a Senior Loan determined by the portfolio managers of other Funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Funds. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Funds may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The Funds are obligated to fund those commitments at the borrower’s discretion. In connection with these commitments, the Funds earns a commitment fee, which is included in interest income in the Statements of Operations and recognized respectively over the commitment period.
There were no fully/partially unfunded loan positions as of August 31, 2024.
(x) Sale-Buyback and Buy-Saleback Transactions. A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.
During the year ended August 31, 2024, the International Fixed Income Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions at August 31, 2024, and the average amount of borrowings, incurred interest expense and a weighted average interest rate related to sale-buyback transactions outstanding during the year ended August 31, 2024, were as following:
| | | | | | | | | | | | |
| | | International
Fixed Income Fund | | | Inflation-Linked
Fixed Income Fund | | | Ultra-Short Term
Fixed Income Fund | |
Payable for investments purchased | | $ | 572,413 | | | $ | — | | | $ | — | |
Average amount borrowed | | | 3,125 | | | | 2,139,369 | | | | 5,562 | |
Interest expense | | | — | | | | 118,045 | | | | 312 | |
Weighted average interest rate | | | 5.56 | % | | | 5.50 | % | | | 5.60 | % |
A buy-saleback lending transaction consists of a purchase of a security by a Fund from a counterparty, with a simultaneous agreement to sell the same or substantially the same security at an agreed-upon price and date. The party who sold the security is not entitled to receive principal and interest payments, if any, made on the security during the term of the agreement. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under buy-saleback transactions.
During the year ended August 31, 2024, the Funds did not participate in buy-saleback transactions.
Sale-buyback and buy-saleback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between each Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of any pending sale-buyback and buy-saleback transactions as of year end is disclosed in each Fund’s Schedule of Investments.
324
| | |
| | | |
| Notes to Financial Statements | | |
(y) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a Sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.
Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedules of Investments. The carrying amount of such deposits due to brokers at August 31, 2024 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).
Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of August 31, 2024 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of August 31, 2024.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of August 31, 2024:
| | | | | | | | |
| | | Assets | | | Liabilities | |
| Derivative Instruments (a) | | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | | | Gross Amounts of Recognized Liabiliites Presented in the Statements of Assets and Liabilities | |
| Core Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 1,374,834 | | | $ | (2,286,814 | ) |
Swap contracts | | | — | | | | (782,669 | ) |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,374,834 | | | $ | (3,069,483 | ) |
| | | | | | | | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 1,251,064 | | | $ | (3,508,670 | ) |
Option contracts | | | 187,978 | (b) | | | (126,300 | ) |
325
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Assets | | | Liabilities | |
| Derivative Instruments (a) | | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | | | Gross Amounts of Recognized Liabiliites Presented in the Statements of Assets and Liabilities | |
Swap contracts | | $ | 19,437 | | | $ | (1,860,940 | ) |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,458,479 | | | $ | (5,495,910 | ) |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 49,852 | | | $ | (248,248 | ) |
Option contracts | | | — | | | | (128,194 | ) |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 49,852 | | | $ | (376,442 | ) |
| | | | | | | | |
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of August 31, 2024:
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received | | | Net Amount (b)
(Not Less than $0) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 1,214,276 | | | $ | (1,214,276 | ) | | $ | — | | | $ | 0 | |
Goldman Sachs & Co. | | | 160,558 | | | | (160,558 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 1,374,834 | | | $ | (1,374,834 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d)
(Not Less than $0) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 1,574,188 | | | $ | (1,214,276 | ) | | $ | — | | | $ | 359,912 | |
Goldman Sachs & Co. | | | 1,495,295 | | | | (160,558 | ) | | | — | | | | 1,334,737 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 3,069,483 | | | $ | (1,374,834 | ) | | $ | — | | | $ | 1,694,649 | |
| | | | | | | | | | | | | | | | |
326
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received | | | Net Amount (b)
(Not Less than $0) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Bank of America | | $ | 32,249 | | | $ | (32,249 | ) | | $ | — | | | $ | 0 | |
Barclays Bank PLC | | | 113,386 | | | | (113,386 | ) | | | — | | | | 0 | |
BNP Paribas SA | | | 370,368 | | | | (370,368 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 42,473 | | | | (29,221 | ) | | | — | | | | 13,252 | |
Goldman Sachs & Co. | | | 279,548 | | | | (279,548 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 261,458 | | | | (261,458 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 211,825 | | | | (211,825 | ) | | | — | | | | 0 | |
Societe Generale SA | | | 947 | | | | — | | | | — | | | | 947 | |
Standard Chartered Bank | | | 107,222 | | | | (107,222 | ) | | | — | | | | 0 | |
UBS Securities LLC | | | 39,003 | | | | (22,508 | ) | | | — | | | | 16,495 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 1,458,479 | | | $ | (1,427,785 | ) | | $ | — | | | $ | 30,694 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d)
(Not Less than $0) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Bank of America | | $ | 83,483 | | | $ | (32,249 | ) | | $ | — | | | $ | 51,234 | |
Barclays Bank PLC | | | 1,004,927 | | | | (113,386 | ) | | | — | | | | 891,541 | |
BNP Paribas SA | | | 1,192,312 | | | | (370,368 | ) | | | — | | | | 821,944 | |
Deutsche Bank AG | | | 29,221 | | | | (29,221 | ) | | | — | | | | 0 | |
Goldman Sachs & Co. | | | 1,511,058 | | | | (279,548 | ) | | | — | | | | 1,231,510 | |
HSBC Bank USA | | | 306,172 | | | | (261,458 | ) | | | — | | | | 44,714 | |
JPMorgan Chase & Co. | | | 677,071 | | | | (211,825 | ) | | | — | | | | 465,246 | |
NatWest Markets PLC | | | 333 | | | | — | | | | — | | | | 333 | |
Standard Chartered Bank | | | 668,825 | | | | (107,222 | ) | | | — | | | | 561,603 | |
UBS Securities LLC | | | 22,508 | | | | (22,508 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 5,495,910 | | | $ | (1,427,785 | ) | | $ | — | | | $ | 4,068,125 | |
| | | | | | | | | | | | | | | | |
327
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received | | | Net Amount (b)
(Not Less than $0) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 748 | | | $ | (748 | ) | | $ | — | | | $ | 0 | |
BNP Paribas SA | | | 9,314 | | | | (9,314 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 5,927 | | | | (5,927 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 209 | | | | (207 | ) | | | — | | | | 2 | |
Standard Chartered Bank | | | 33,654 | | | | (33,654 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 49,852 | | | $ | (49,850 | ) | | $ | — | | | $ | 2 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d)
(Not Less than $0) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 157,034 | | | $ | (748 | ) | | $ | — | | | $ | 156,286 | |
BNP Paribas SA | | | 45,352 | | | | (9,314 | ) | | | — | | | | 36,038 | |
Deutsche Bank AG | | | 1,992 | | | | — | | | | — | | | | 1,992 | |
HSBC Bank USA | | | 18,513 | | | | (5,927 | ) | | | — | | | | 12,586 | |
JPMorgan Chase & Co. | | | 207 | | | | (207 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 153,344 | | | | (33,654 | ) | | | — | | | | 119,690 | |
| | | | | | | | | | | | | | | | |
Total over-the-counter derivative instruments | | $ | 376,442 | | | $ | (49,850 | ) | | $ | — | | | $ | 326,592 | |
| | | | | | | | | | | | | | | | |
| (a) | Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (c) | Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (d) | Net amount represents the net amount payable to the counterparty in the event of default. |
2. Investment Management Agreement and Other Transactions with Affiliates
CGAS, a business of Morgan Stanley Wealth Management, serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser on a monthly basis, a sub-advisory fee from its investment management fees.
CGAS has contractually agreed to waive fees and reimburse expenses in order to keep the Funds’ management fees from exceeding the total amount of sub-advisory fees paid by CGAS plus 0.20% based on average net assets. This contractual waiver will only apply if the Funds’ total management fees exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Funds’ total management fees if they are less than such amount. Because the Alternative Strategies Fund does not currently have sub-advisers, CGAS will contractually waive 1.00% of its management fees. These fee waivers and/or reimbursements will continue for at least one year from the date of the Funds’ prospectus or until such time as the Board act to discontinue all or a portion of such waiver and/or reimbursement when they deem such action is appropriate.
328
| | |
| | | |
| Notes to Financial Statements | | |
In addition, CGAS and its affiliates have also separately agreed to waive fees and reimburse expenses in order to keep the Alternative Strategies Fund’s total annual operating expenses, (exclusive of interest from borrowing, brokerage commissions, taxes, acquired fund fees and expenses and other extraordinary expenses not incurred in the ordinary course of the Alternative Strategies Fund’s business), from exceeding 0.70%.
This contractual arrangement shall remain in effect for at least one year from the date of the Fund’s prospectus or until such time as the Board act to discontinue all or a portion of such waiver and/or reimbursement when they deem such action is appropriate.
The maximum allowable investment management fees represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the year ended August 31, 2024 are indicated below:
| | | | | | | | | | | | |
| Fund | | Sub-advisory
Fee | | | Consulting Group
Advisory Services LLC
Fee | | | Maximum
Allowable Annual
Management Fee | |
Large Cap Equity Fund | | | 0.12 | % | | | 0.20 | % | | | 0.60 | % |
Small-Mid Cap Equity Fund | | | 0.25 | % | | | 0.20 | % | | | 0.80 | % |
International Equity Fund | | | 0.29 | % | | | 0.20 | % | | | 0.70 | % |
Emerging Markets Equity Fund | | | 0.36 | % | | | 0.20 | % | | | 0.90 | % |
Core Fixed Income Fund | | | 0.15 | % | | | 0.20 | % | | | 0.40 | % |
High Yield Fund | | | 0.30 | % | | | 0.20 | % | | | 0.70 | % |
International Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Municipal Bond Fund | | | 0.20 | % | | | 0.20 | % | | | 0.40 | % |
Inflation-Linked Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Ultra-Short Term Fixed Income Fund | | | 0.16 | % | | | 0.20 | % | | | 0.50 | % |
Alternative Strategies Fund | | | N/A | | | | 0.20 | % | | | 1.20 | % |
The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2024, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Large Cap Equity Fund | | $ | 6,124,152 | |
Small-Mid Cap Equity Fund | | | 1,648,409 | |
International Equity Fund | | | 2,648,942 | |
Emerging Markets Equity Fund | | | 1,555,824 | |
Core Fixed Income Fund | | | 985,566 | |
High Yield Fund | | | 264,609 | |
International Fixed Income Fund | | | 96,719 | |
Municipal Bond Fund | | | — | |
Inflation-Linked Fixed Income Fund | | | 68,041 | |
Ultra-Short Term Fixed Income Fund | | | 454,874 | |
Alternative Strategies Fund | | | 1,619,216 | |
Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.
329
| | |
| | | |
| Notes to Financial Statements | | |
For the year ended August 31, 2024, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
| | | | |
| Fund | | Commission
Dollars to MS&Co. | |
Large Cap Equity Fund | | $ | 2,494 | |
Small-Mid Cap Equity Fund | | | 6,446 | |
International Equity Fund | | | — | |
Emerging Markets Equity Fund | | | 1,132 | |
Core Fixed Income Fund | | | — | |
High Yield Fund | | | — | |
International Fixed Income Fund | | | — | |
Municipal Bond Fund | | | — | |
Inflation-Linked Fixed Income Fund | | | — | |
Ultra-Short Term Fixed Income Fund | | | — | |
Alternative Strategies Fund | | | — | |
Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Trust’s Chief Compliance Officer.
For the year ended August 31, 2024, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
Appreciation | | | Dividend/
Interest
Income | | | Ending Value as of
August 31, 2024 | |
Morgan Stanley | | $ | 2,498,471 | | | $ | 823,503 | | | $ | (112,092) | | | $ | 545 | | | $ | 642,414 | | | $ | 117,972 | | | $ | 3,852,841 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Loss on Sales | | | Change in
Unrealized
Appreciation | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2024 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2013-C13, Class A4, 4.039% due 11/15/46 | | $ | 497,004 | | | $ | — | | | $ | (500,000 | ) | | $ | (13,418 | ) | | $ | 16,414 | | | $ | 1,515 | | | $ | — | |
Series 2016-C28, Class A3, 3.272% due 1/15/49 | | | 481,365 | | | | — | | | | (493,592 | ) | | | (49,375 | ) | | | 61,602 | | | | 5,958 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 978,369 | | | $ | — | | | $ | (993,592) | | | $ | (62,793) | | | $ | 78,016 | | | $ | 7,473 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
Appreciation | | | Accretion
of discount | | | Dividend/
Interest
Income | | | Ending Value as of
August 31, 2024 | |
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 6.292% (1-Month Term SOFR + 1.014%) due 5/25/34 | | $ | 391,211 | | | $ | — | | | $ | (38,601) | | | $ | 89 | | | $ | 18,261 | | | $ | 381 | | | $ | 17,739 | | | $ | 371,341 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
330
| | |
| | | |
| Notes to Financial Statements | | |
3. Investments
During the year ended August 31, 2024, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:
| | | | | | | | | | | | | | | | |
| | | Other Investments | | | U.S. Government Securities | |
| Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Large Cap Equity Fund | | $ | 874,401,062 | | | $ | 518,721,959 | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | 256,208,056 | | | | 313,454,924 | | | | — | | | | — | |
International Equity Fund | | | 307,054,678 | | | | 347,201,598 | | | | — | | | | — | |
Emerging Markets Fund | | | 109,810,008 | | | | 139,832,579 | | | | — | | | | — | |
Core Fixed Income Fund | | | 763,391,211 | | | | 747,019,635 | | | | 3,296,404,043 | | | | 3,400,209,055 | |
High Yield Fund | | | 55,606,621 | | | | 54,986,033 | | | | — | | | | — | |
International Fixed Income Fund | | | 77,830,371 | | | | 38,010,600 | | | | 498,835,621 | | | | 491,589,363 | |
Municipal Bond Fund | | | 35,980,788 | | | | 43,737,811 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 7,552,842 | | | | 5,721,569 | | | | 247,884,695 | | | | 213,642,276 | |
Ultra-Short Term Fixed Income Fund | | | 170,314,844 | | | | 189,823,680 | | | | 44,224,397 | | | | 38,110,037 | |
Alternative Strategies Fund | | | 20,189,190 | | | | 21,178,475 | | | | — | | | | — | |
The cost of investments for federal income tax purposes and gross unrealized appreciation and unrealized depreciation at August 31, 2024 have been disclosed under the respective Schedule of Investments.
4. Shares of Beneficial Interest
At August 31, 2024, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2024, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
Transactions in shares of each Fund were as follows:
| | | | | | | | |
| | | Year Ended
August 31,
2024 | | | Year Ended
August 31,
2023 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 34,805,714 | | | | 18,469,176 | |
Shares issued on reinvestment | | | 5,516,055 | | | | 7,460,910 | |
Shares repurchased | | | (20,142,665 | ) | | | (23,745,026 | ) |
| | | | | | | | |
Net Increase | | | 20,179,104 | | | | 2,185,060 | |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 7,385,124 | | | | 7,404,122 | |
Shares issued on reinvestment | | | 297,643 | | | | 3,585,089 | |
Shares repurchased | | | (12,137,440 | ) | | | (12,795,923 | ) |
| | | | | | | | |
Net Decrease | | | (4,454,673 | ) | | | (1,806,712 | ) |
| | | | | | | | |
| | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 19,960,222 | | | | 16,201,245 | |
Shares issued on reinvestment | | | 1,958,952 | | | | 5,011,817 | |
Shares repurchased | | | (25,387,585 | ) | | | (33,283,333 | ) |
| | | | | | | | |
Net Decrease | | | (3,468,411 | ) | | | (12,070,271 | ) |
| | | | | | | | |
331
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended
August 31,
2024 | | | Year Ended
August 31,
2023 | |
| | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 10,561,701 | | | | 8,015,619 | |
Shares issued on reinvestment | | | 823,359 | | | | 742,139 | |
Shares repurchased | | | (14,442,840 | ) | | | (8,963,635 | ) |
| | | | | | | | |
Net Decrease | | | (3,057,780 | ) | | | (205,877 | ) |
| | | | | | | | |
| | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 71,305,055 | | | | 110,298,590 | |
Shares issued on reinvestment | | | 11,954,712 | | | | 8,433,319 | |
Shares repurchased | | | (79,469,989 | ) | | | (42,748,179 | ) |
| | | | | | | | |
Net Increase | | | 3,789,778 | | | | 75,983,730 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 10,313,895 | | | | 11,080,666 | |
Shares issued on reinvestment | | | 2,864,296 | | | | 2,401,958 | |
Shares repurchased | | | (12,884,403 | ) | | | (8,554,883 | ) |
| | | | | | | | |
Net Increase | | | 293,788 | | | | 4,927,741 | |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 7,770,890 | | | | 8,325,207 | |
Shares issued on reinvestment | | | 242,360 | | | | 2,189,684 | |
Shares repurchased | | | (10,035,865 | ) | | | (6,560,659 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (2,022,615 | ) | | | 3,954,232 | |
| | | | | | | | |
| | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 2,181,628 | | | | 5,121,639 | |
Shares issued on reinvestment | | | 391,076 | | | | 284,259 | |
Shares repurchased | | | (3,802,599 | ) | | | (3,889,936 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (1,229,895 | ) | | | 1,515,962 | |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 5,369,255 | | | | 6,417,650 | |
Shares issued on reinvestment | | | 706,207 | | | | 892,180 | |
Shares repurchased | | | (3,929,674 | ) | | | (2,807,002 | ) |
| | | | | | | | |
Net Increase | | | 2,145,788 | | | | 4,502,828 | |
| | | | | | | | |
| | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 10,143,636 | | | | 11,821,458 | |
Shares issued on reinvestment | | | 1,584,409 | | | | 2,362,164 | |
Shares repurchased | | | (11,416,637 | ) | | | (34,280,332 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 311,408 | | | | (20,096,710 | ) |
| | | | | | | | |
| | |
| Alternative Strategies Fund | | | | | | | | |
Shares sold | | | 4,786,165 | | | | 5,357,578 | |
Shares issued on reinvestment | | | 493,308 | | | | 938,002 | |
Shares repurchased | | | (5,474,553 | ) | | | (4,685,445 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (195,080 | ) | | | 1,610,135 | |
| | | | | | | | |
332
| | |
| | | |
| Notes to Financial Statements | | |
5. Dividend and Tax Components of Capital
The tax character of distributions paid during the fiscal year ended August 31, 2024, was as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 18,988,775 | | | | 4,637,293 | | | | 25,231,455 | | | | 10,119,149 | |
Net Long-term Capital Gains | | | 96,903,681 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 115,892,456 | | | $ | 4,637,293 | | | $ | 25,231,455 | | | $ | 10,119,149 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed
Income
Fund | | | Municipal
Bond
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | 3,034,578 | |
Tax Return of Capital | | | 937,998 | | | | — | | | | — | | | | 39,392 | |
Ordinary Income | | | 79,434,988 | | | | 9,093,545 | | | | 1,577,786 | | | | 256,355 | |
Net Long-term Capital Gains | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 80,372,986 | | | $ | 9,093,545 | | | $ | 1,577,786 | | | $ | 3,330,325 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-
Linked
Fixed
Income
Fund | | | Ultra-Short
Term
Fixed
Income
Fund | | | Alternative
Strategies
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | | — | | | | 4,497,656 | | | | — | |
Ordinary Income | | | | 4,043,963 | | | | 10,854,653 | | | | 5,012,008 | |
Net Long-term Capital Gains | | | | 1,630,339 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 5,674,302 | | | $ | 15,352,309 | | | $ | 5,012,008 | |
| | | | | | | | | | | | | | | | |
The tax character of distributions paid during the fiscal year ended August 31, 2023, was as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 14,908,275 | | | | 3,371,402 | | | | 21,669,734 | | | | 8,935,779 | |
Net Long-term Capital Gains | | | 127,224,280 | | | | 49,796,126 | | | | 36,118,529 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 142,132,555 | | | $ | 53,167,528 | | | $ | 57,788,263 | | | $ | 8,935,779 | |
| | | | | | | | | | | | | | | | |
333
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed
Income
Fund | | | Municipal
Bond
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | 2,183,861 | |
Tax Return of Capital | | | 2,151,201 | | | | — | | | | — | | | | — | |
Ordinary Income | | | 55,626,492 | | | | 7,405,135 | | | | 14,058,663 | | | | 224,832 | |
Net Long-term Capital Gains | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 57,777,693 | | | $ | 7,405,135 | | | $ | 14,058,663 | | | $ | 2,408,693 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-
Linked
Fixed
Income
Fund | | | Ultra-Short
Term
Fixed
Income
Fund | | | Alternative
Strategies
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | | — | | | | — | | | | — | |
Ordinary Income | | | | 5,524,872 | | | | 22,018,011 | | | | 8,997,740 | |
Net Long-term Capital Gains | | | | 1,870,229 | | | | — | | | | 354,140 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 7,395,101 | | | $ | 22,018,011 | | | $ | 9,351,880 | |
| | | | | | | | | | | | | | | | |
As of August 31, 2024, the components of distributable earnings/(losses) - net on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Undistributed ordinary income - net | | $ | 28,595,495 | | | $ | 3,752,124 | | | $ | 34,060,335 | | | $ | 10,763,357 | |
Undistributed long-term capital gains - net | | | 66,761,308 | | | | 50,033,293 | | | | 29,479,064 | | | | — | |
Undistributed tax-exempt income - net | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | 95,356,803 | | | | 53,785,417 | | | | 63,539,399 | | | | 10,763,357 | |
Capital loss carryforward | | | — | | | | — | | | | — | | | | (51,934,679 | ) |
Other book/tax temporary differences | | | (1,090 | )(a) | | | (1 | )(a) | | | (905 | )(a) | | | 8 | (a) |
Unrealized appreciation/(depreciation) | | | 1,137,874,750 | | | | 111,479,624 | | | | 292,015,709 | | | | 74,729,238 | |
| | | | | | | | | | | | | | | | |
Total distributable earnings/(losses) - net | | $ | 1,233,230,464 | | | $ | 165,265,040 | | | $ | 355,554,203 | | | $ | 33,557,924 | |
| | | | | | | | | | | | | | | | |
334
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Undistributed ordinary income - net | | $ | — | | | $ | 1,502,883 | | | $ | — | | | $ | — | |
Undistributed long-term capital gains - net | | | — | | | | — | | | | — | | | | — | |
Undistributed tax-exempt income - net | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | — | | | | 1,502,883 | | | | — | | | | — | |
Capital loss carryforward | | | (172,206,944 | ) | | | (21,742,930 | ) | | | (5,130,800 | ) | | | (6,193,384 | ) |
Other book/tax temporary differences | | | (940,386 | )(a) | | | 1 | (a) | | | (400,394 | )(a) | | | — | |
Unrealized appreciation/(depreciation) | | | (56,229,835 | ) | | | (2,926,683 | ) | | | (17,933,914 | ) | | | 1,304,508 | |
| | | | | | | | | | | | | | | | |
Total distributable earnings/(losses) - net | | $ | (229,377,165 | ) | | $ | (23,166,729 | ) | | $ | (23,465,108 | ) | | $ | (4,888,876 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation- Linked
Fixed Income
Fund | | | Ultra-Short
Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
Undistributed ordinary income - net | | | $ | — | | | $ | — | | | $ | 2,101,028 | |
Undistributed long-term capital gains - net | | | | — | | | | — | | | | — | |
Undistributed tax-exempt income - net | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | | — | | | | — | | | | 2,101,028 | |
Capital loss carryforward | | | | — | | | | (15,511,414 | ) | | | (593,667 | ) |
Other book/tax temporary differences | | | | (4,263,671 | )(a) | | | (2 | )(a) | | | (1 | )(a) |
Unrealized appreciation/(depreciation) | | | | (11,651,142 | ) | | | 426,052 | | | | 4,118,670 | |
| | | | | | | | | | | | | | | | |
Total distributable earnings/(losses) - net | | | $ | (15,914,813 | ) | | $ | (15,085,364 | ) | | $ | 5,626,030 | |
| | | | | | | | | | | | | |
| (a) | The differences between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, forwards, futures, options, swaps, Return of Capital (ROC) dividends received, real estate investments, interest accrual on defaulted bonds, the difference between book and tax amortization methods for premiums on fixed income securities, and/or the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
6. Capital Loss Carry Forward
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.
As of August 31, 2024, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | |
Short Term | | $ | — | | | $ | — | | | $ | — | | | $ | 6,422,648 | | | $ | 47,020,845 | | | $ | 2,842,097 | |
Long Term | | | — | | | | — | | | | — | | | | 45,512,031 | | | | 125,186,099 | | | | 18,900,833 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | — | | | $ | — | | | $ | 51,934,679 | | | $ | 172,206,944 | | | $ | 21,742,930 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
Short Term | | | $ | 3,448,042 | | | $ | 2,530,100 | | | $
| —
|
| | $ | 15,511,414 | | | $ | 79,751 | |
Long Term | | | | 1,682,758 | | | | 3,663,284 | | | | — | | | | — | | | | 513,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 5,130,800 | | | $ | 6,193,384 | | | $
| —
|
| | $ | 15,511,414 | | | $ | 593,667 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
335
| | |
| | | |
| Notes to Financial Statements | | |
During the year ended August 31, 2024, the following Funds utilized capital loss carryforwards:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Small-Mid
Cap Equity
Fund | | | International Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative Strategies Fund | |
Short Term | | $ | 4,382,556 | | | $ | — | | | $ | 2,162,657 | | | $ | 97,513 | | | $ | — | | | $ | 124,517 | |
Long Term | | | — | | | | 16,169,736 | | | | — | | | | — | | | | 5,500,790 | | | | 352,246 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total . . . . . . . | | $ | 4,382,556 | | | $ | 16,169,736 | | | $ | 2,162,657 | | | $ | 97,513 | | | $ | 5,500,790 | | | $ | 476,763 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Qualified late year losses are capital losses and specified ordinary losses, including currency losses, incurred after October 31 but within the taxable year that, if elected, are deemed to arise on the first day of the Funds’ next taxable year. For the year ended August 31, 2024, the Funds intend to defer to September 1, 2024, for U.S. federal income tax purposes, the following losses:
| | | | | | | | | | | | |
| | | Core Fixed
Income
Fund | | | International
Fixed Income
Fund | | | Inflation-Linked
Fixed Income
Fund | |
Ordinary Late Year Losses | | $ | — | | | $ | — | | | $ | — | |
Short-Term Post-October Loss | | | — | | | | — | | | | (632,409 | ) |
Long-Term Post-October Loss | | | — | | | | — | | | | 4,896,078 | |
Specified Late Year Loss | | | 940,388 | | | | 400,393 | | | | — | |
| | | | | | | | | | | | |
Total | | $ | 940,388 | | | $ | 400,393 | | | $ | 4,263,669 | |
| | | | | | | | | | | | |
7. Subsequent Events
Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any events or transactions that would require recognition or disclosure in the financial statements other than the information below.
Subsequent to August 31, 2024, the Funds made the following distributions per share:
| | | | | | | | | | | | | | | | | | | | |
| Record Date - Payable Date | | Core Fixed Income Fund | | | High Yield Fund | | | Municipal Bond Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
9/1/24-9/30/24 | | $ | 0.027003 | | | $ | 0.019403 | | | $ | 0.023445 | | | $ | 0.016618 | | | $ | 0.041067 | |
The Board has approved an agreement and plan of reorganization providing for the reorganizations (each, a “Reorganization”) of the Large Cap Equity Fund and Small-Mid Cap Equity Fund (each, a “Target Fund”) into the Large Cap Equity ETF and Small-Mid Cap Equity ETF, respectively (each, an “Acquiring ETF”), each a newly-created series of the Trust that will operate as a fully transparent and actively managed exchange-traded fund. Each Reorganization is currently expected to close immediately prior to the open of trading on the New York Stock Exchange on November 18, 2024. Upon closing of the Reorganization, Target Fund shareholders will receive ETF shares of the Acquiring ETF in exchange for their shares of the Target Fund. The net asset value of a shareholder’s investment is not expected to change as a result of the Reorganizations. In addition, prior to the Reorganizations, shareholders will receive cash equal to the net asset value of any fractional shares of a Target Fund held by the shareholder at such time.
336
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
To the shareholders and the Board of Trustees of
Morgan Stanley Pathway Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Morgan Stanley Pathway Funds (the “Funds”) comprising the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund, and Alternative Strategies Fund, including the schedules of investments, as of August 31, 2024, the related statements of operations for the year then ended, the related statements of cash flows for International Fixed Income Fund and Inflation-Linked Fixed Income Fund for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds comprising Morgan Stanley Pathway Funds as of August 31, 2024, and the results of their operations for the year then ended, the cash flows for International Fixed Income Fund and Inflation-Linked Fixed Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian, brokers, transfer agents, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 25, 2024
We have served as the auditor of one or more Morgan Stanley Pathway Funds investment companies since 2009.
337
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Approval of Advisory Agreements
The Morgan Stanley Pathway Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement with respect to each Fund, except the Alternative Strategies Fund, dated as of October 28, 2009 (the “Management Agreement”), and an investment advisory agreement with respect to the Alternative Strategies Fund, dated as of December 20, 2017 (the “IM Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser,” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them by the Manager pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement and IM Agreement, the “Agreements”) between the Manager and each of the Sub-advisers. Pursuant to the IM Agreement, the Manager serves as the investment adviser for the Alternative Strategies Fund.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially for a two year term, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.
****
At an in-person meeting held on May 21 and May 22, 2024 (the “Meeting”), the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an additional year. In connection with the Meeting and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The information received and considered by the Independent Trustees both in conjunction with the Meeting and throughout the year was both written and oral. The Independent Trustees were assisted in their reviews by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. In addition to the Management Agreement and the IM Agreement, the Board approved at the Meeting the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:
| | |
Sub-adviser Name | | Fund(s) Serviced |
| |
| The Consulting Group, Consulting Group Advisory Services LLC | |
¨ Alternative Strategies Fund |
| |
| AllianceBernstein L.P. | | ¨ Small-Mid Cap Equity Fund |
| |
| Allspring Global Investments | | ¨ Core Fixed Income Fund |
| |
| BlackRock Financial Management, Inc. | | ¨ Large Cap Equity Fund ¨ Small-Mid Cap Equity Fund ¨ International Equity Fund ¨ Emerging Markets Equity Fund ¨ Core Fixed Income Fund ¨ Municipal Bond Fund |
| |
| Causeway Capital Management LLC | | ¨ International Equity Fund |
| |
| ClearBridge Investments, LLC | | ¨ Large Cap Equity Fund |
| |
| Great Lakes Advisors, LLC | | ¨ Large Cap Equity Fund |
| |
| Lazard Asset Management, LLC | | ¨ Emerging Markets Equity Fund |
| |
| Martin Currie Inc. | | ¨ Emerging Markets Equity Fund |
| |
| Neuberger Berman Investment Advisers LLC | | ¨ Small-Mid Cap Equity Fund |
338
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
| | |
Sub-adviser Name | | Fund(s) Serviced |
| |
| Pacific Investment Management Company LLC | | ¨ International Fixed Income Fund ¨ Inflation-Linked Fixed Income Fund ¨ Ultra-Short Term Fixed Income Fund |
| |
| PineBridge Investments LLC | | ¨ High Yield Fund |
| |
| Principal Asset Management | | ¨ Large Cap Equity Fund |
| |
| Schroders Investment Management North America Inc. | |
¨ International Equity Fund |
| |
| Van Eck Associates Corporation | | ¨ Emerging Markets Equity Fund |
| |
| Victory Capital Management, Inc. | | ¨ International Equity Fund |
| |
| Walter Scott & Partners Limited | | ¨ International Equity Fund |
| |
| Western Asset Management Company | | ¨ Core Fixed Income Fund ¨ High Yield Fund |
| |
| Westfield Capital Management Co., L.P. | | ¨ Small-Mid Cap Equity Fund |
In voting to approve the Agreements at the Meeting, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.
Nature, Extent and Quality of the Services Provided Under the Agreements
The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the respective Agreements during the Meeting and during the past year. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board considered each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers, if any, to the respective Fund. With respect to the Alternative Strategies Fund, the Independent Trustees considered the Manager’s investment process and capabilities managing assets and the Manager’s specific responsibilities in all aspects of day-to-day management of the Fund’s assets, as well as the qualification, experience and responsibilities of the person who serves as the portfolio manager for the Alternative Strategies Fund.
The Independent Trustees also discussed the acceptability of the terms of the Management Agreement, IM Agreement and Sub-Advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, including those specific to the Manager providing day-to-day management of the Alternative Strategies Fund’s assets, and those of each Sub-adviser.
During the course of the year and at the Meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Manager’s senior personnel and the portfolio management team primarily responsible for the management of the Funds and the selection and evaluation of Sub-Advisers. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage
339
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
allocation procedures. The Board also considered the risks associated with the Trust borne by the Manager and its affiliates (such as entrepreneurial, operational and regulatory risk), as well as the Manager’s risk management processes.
The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement, IM Agreement and Subadvisory Agreements were adequate and appropriate.
Fund Performance
As to each Fund, the Board received and considered performance information for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”) selected by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper. As to each Fund, the Board was provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds included in the Fund’s Performance Universe. It was noted that, while the Board has found the Broadridge data generally useful, the Trustees recognized the limitations of such data, including that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. As to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. In addition, the Board considered the Funds’ performance in light of overall financial market conditions.
The Board received information from management regarding the Sub-advisers’ historical performance returns managing the Funds (in the case of renewals) and managing investment mandates similar to that of the applicable Funds (in the case of renewals and approvals), with such performance compared to a relevant index. The Board discussed with representatives of the Adviser the investment strategy employed by each Sub-adviser in the management of the applicable Funds’ assets. The Board discussed the reputation and experience of the Sub-advisers, their portfolio managers’ experience, and the Adviser’s experience and reputation in selecting, evaluating, and overseeing investment managers, including the process and diligence undertaken by the Adviser in evaluating Sub-Adviser performance. The Board determined that these factors supported a decision to renew or approve, as applicable, the Sub-Advisory Agreements.
The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-advisers, as applicable, and to continue to periodically review Fund performance with the Manager.
Management Fees and Expense Ratios
As to each Fund, the Board reviewed and considered the contractual management fee rate (“Contractual Management Fee”) payable by the Fund to the Manager in light of the nature, extent and quality of the management and sub-advisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered the actual management fee rate (“Actual Management Fee”) paid by each Fund over the Fund’s last fiscal year which included reductions for fee waiver and/or expense reimbursement arrangements that were in effect for the Fund, which reduced the management fee paid to the Manager. The Board noted that the Manager has contractually agreed to waive fees and reimburse expenses in order to keep each Fund’s management fees from exceeding the total amount of sub-advisory fees, if any, paid by the Manager plus 0.20% based on average net assets of the Fund. The Board also noted that the compensation paid to the Sub-advisers is paid by the Manager, not the applicable Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by such Funds and their shareholders. The Board also reviewed with management the scope of services provided to the Funds by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-advisers. The Board considered the amount of the management fee retained by the Manager after payment of sub-advisory fees to the Sub-advisers, in each case in light of the services rendered for those amounts. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other sub-advised funds and accounts managed by the Sub-advisers.
Additionally, the Board received and considered information comparing each Fund’s Contractual Management Fee and Actual Management Fee and the Fund’s actual total expenses with those of a group of funds selected by Broadridge as comparable to the
340
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”). The Trustees also reviewed comparative expense information provided by Broadridge with respect to transfer agent and custodian fees, and other non-management expenses, in addition to the management fee. The Independent Trustees also considered the total expenses of the comparison group, excluding Rule 12b-1 and non-12b-1 fees. It was noted that while the Board found the Broadridge data generally useful they recognized its limitations, including that the data may vary depending on the selection of the peer group and the fiscal year ends of the peer group funds.
The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers, as applicable, were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.
Manager Profitability
The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing sub-advisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.
Economies of Scale
As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economies of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.
Other Benefits to the Manager and the Sub-advisers
As to each Fund, the Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.
In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.
Based on their discussions and considerations, including those described above, the Board approved the Management Agreement, the IM Agreement and the Subadvisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Agreements.
*******
Trustees and Officers of the Trust
The Board is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor, Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.
In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to the Sub-advisers, the custodian, the transfer agent and the administrator.
341
| | |
| | | |
| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2024:
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Equity Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity Fund | | | Emerging
Markets Equity
Fund | | | Core Fixed
Income Fund | |
Record Date | | | 12/6/2023 | | | | 12/6/2023 | | | | 12/6/2023 | | | | 12/6/2023 | | | | Monthly | |
Payable Date | | | 12/7/2023 | | | | 12/7/2023 | | | | 12/7/2023 | | | | 12/7/2023 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 100 | % | | | 100 | % | | | 100 | % | | | 70.29 | % | | | 0 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 100 | % | | | 100 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Foreign Source Income | | | — | | | | — | | | | 99.874914 | % | | | 99.863742 | % | | | — | |
Foreign Tax Paid par Share | | | — | | | | — | | | | 0.02893286 | | | | 0.03897998 | | | | — | |
Long-term Capital Gain Dividend | | | 1.098333 | | | | — | | | | — | | | | — | | | | — | |
| | | | | |
| | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
Record Date | | | Monthly | | | | 12/6/2023 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/7/2023 | | | | Monthly | | | | Monthly | | | | Monthly | |
Ordinary Income: | | | — | | | | — | | | | — | | | | — | | | | — | |
Qualified Dividend Income for Individuals | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Foreign Source Income | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Tax Paid par Share | | | — | | | | — | | | | — | | | | — | | | | — | |
Long-term Capital Gain Dividend | | | — | | | | 0.006552 | | | | — | | | | 0.059859 | | | | — | |
| | | | | |
| | | Alternative
Strategies
Fund | | | | | | | | | | | | | |
Record Date | | | 12/28/2023 | | | | | | | | | | | | | | | | | |
Payable Date | | | 12/29/2023 | | | | | | | | | | | | | | | | | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 11.30 | % | | | | | | | | | | | | | | | | |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 11.30 | % | | | | | | | | | | | | | | | | |
Foreign Source Income | | | — | | | | | | | | | | | | | | | | | |
Foreign Tax Paid par Share | | | — | | | | | | | | | | | | | | | | | |
Long-term Capital Gain Dividend | | | — | | | | | | | | | | | | | | | | | |
| * | Expressed as a percentage of the cash distribution grossed-up for foreign taxes. |
The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes
paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.
Please retain this information for your records.
342
MORGAN STANLEY SMITH BARNEY LLC
Distributor
CONSULTING GROUP ADVISORY SERVICES LLC
Investment Adviser
This report is submitted for the general information of the shareholders of Morgan Stanley Pathway Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.
© 2024 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.
Morgan Stanley Pathway Funds
2000 Westchester Avenue
Purchase, NY 10577
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
There were no changes in or disagreements with accountants on accounting and financial disclosure during the period covered by the report.
Item 9. Proxy Disclosures for Open-End Management Companies.
There were no matters submitted to a vote of shareholders during the period covered by the report.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Companies.
The remuneration paid by the company during the period covered by the report to the Trustees on the company’s Board of Trustees is disclosed as part of the financial statements included above in Item 7.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
The disclosure regarding the Approval of Advisory Agreement, if applicable, is included as part of the financial statements included above in Item 7.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 16. Controls and Procedures.
(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| Morgan Stanley Pathway Funds |
|
| By: |
|
/s/ Paul Ricciardelli |
| Paul Ricciardelli |
| Title: President - Principal Executive Officer |
| Date: November 1, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
Morgan Stanley Pathway Funds
| | |
|
| By: |
|
/s/ Paul Ricciardelli |
| Paul Ricciardelli |
| Title: President - Principal Executive Officer |
| Date: November 1, 2024 |
|
| Morgan Stanley Pathway Funds |
|
| By: |
|
/s/ Frank Smith |
| Frank Smith |
| Title: Treasurer - Principal Financial Officer |
| Date: November 1, 2024 |
